+1 for PhoneView; it will also make it easy to pull your pictures onto your hard drive, backs up your visual voicemail, and when iTunes suddenly "loses" parts of your music collection completely (yes, it's eaten my files totally at times), you can actually move them back onto your computer from your phone. (iTunes is useless in this regard.) And you don't need to jailbreak to get any of these features.
PhoneView is Mac-only. There's a Windows program that's very similar that's linked on their site and recommended by them--it's linked on their FAQ page. A friend of mine purchased that one in October when we were trying to figure out how to permanently save a special voicemail from her phone. She's very pleased with it as well, though it is put out by a different company, it has most of the same functionality.