Safari in Tiger is supposed to have a web archiving built in, however, when I tested the feature in the 1.3 (dead?) beta, the format is only supported by Safari. I don't think that's a very workable solution, but I'll wait until Tiger to pass judgment.
For now though, I do like using Firefox as a web archiving tool. Just load up your web page and choose "Web Page, complete" in the Save dialog! Seems to work better than a few of the others. Though, I would suggest testing and playing around to whatever suits your preferences.