Kinda depends on what you want it for.
There are several "DM Suites" programs out there: DM's Familiar (mine), Campaign Suite, Roleplaying Master, DM Genie, Crystal Ball (Mac only). These programs do things like:
PC/NPC Generation: For making characters (DM's Familiar does not do character generation)
Combat Management: Tracking initiative, spell durations, make attack/damage rolls, making skill/saves, etc. Anything that makes your combat go faster and work smoother (Campaign Suite does not combat management)
Reference Tools: Putting spells, skills, feats, monsters, rules, etc. at your fingertips so that you don't have to carry around the books and so that you can find things quickly
"Note" Management: To organize your campaign world notes, adventure, world history - basically anything text based.
Dice Roller: To roll that 10d6 fireball or the 18d6 fall of a cliff easily
Those are the main things the "suites" try and do. A good pogram at the game table can really improve gaming - making the game run smoother and faster.
All of these programs (?) have free demos. Try 'em out and see what you like.
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Then there are some standalone programs that try to do one thing. Maybe it's something the suites don't do, or maybe it's something they do better than the suites:
Character Generation: E-Tools, PCGen
Random Table Generation: Tablesmith (love it), JH NameGen Gold gets mentioned a lot
"Note" Management: Word, MyInfo
Mapping: That's a whole other thread