I have done the same research. There is nothing that really does what Visio does for free.
You can download a "trial" 30 or 60 day copy of Visio from M$ directly.
Inkscape is a vector program (where you get to create all of your own shapes and such before you begin you diagram) and Dia seems to get worse with every release. Both of these are available for Windows.
Mac and Linux are supposed to have very nice alternatives, but none of the better ones are ported to Windows.
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Oh, it you are doing DB diagrams, you can download DB Designer 4 or MySQL Workbench. Either one of those will do a passable job at an ERD.
You can also download Toad for you specified DB and use its data modeler and have it reverse engineer the table structures.
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