I gotta throw in my vote for Final Draft as well - it's what I currently use. I understand where some of you are coming from, saying "what does the software actually do over and above Word?!", for instance, and I was in the same boat until I started using the program. Final Draft just makes writing so much easier - I can just write and I don't have to worry about formatting, etc. Final Draft allows you to select whether what you're typing is a scene heading, dialogue, action, a transition, etc., then will fill in commonly used scenes for you, directions like INT., MATCH CUT, FADE IN, etc., character names as you type them, and again, format everything perfectly and professionally. It's nice to name a character, have the software capitalize it for you, remember the name for future use, center it, then once you hit "return", it changes automatically to "dialogue" format since it knows you're having the character speak. And the software does several similar functions like this which make the writing experience easier and more enjoyable. If you want to get detailed, Final Draft will also print out reports for you, based on scenes, dialogue (i.e. how many lines each character has, who they speak to the most, etc.), and all sorts of other useful peices of information.
It's a really powerful tool that let's me write what I want to write without having to worry about the formatting, etc. details. As a result, I have become a much more efficient writer thanks to the program, which is what good programs should do for their users.
If you would like further tips, advice, etc. on screenwriting, just let me know - I'd be happy to help you out.
