I use one by GSP called Novel Writer (Standard version). I'm a relly sporadic writer, and this allows me to create backstories for each of my characters and leave strategic links mid-story to the backstories. It also has sections for notes and ideas, and an events module which tracks your story like a gantt chart. I find this helps me not to do stupid things with the timing of my story, which I'm otherwise apt to do.
If you want some fun, it has a storyline generator, which I use to make my OH laugh but I don't think I would use it for my 'real' story.
I looked at buying the super duper jumped up version but couldn't see it was going to offer me more (it would store up to 25,000 characters, compared to the 8,000 or so that the standard version stores).
I like the format of it, it exports nicely into Word etc, and you can program how you want the export to look, including generating a front page with wordcount etc.
No, I don't work for them, just happen to find it comfortable to use
I picked it up for £3 at a supermarket, but up until then had been more than happy with Word. I could probably go back to Word quite happily if the need arose. I don't know how compatible it is with Windows Vista, if anyone has that - the blurb only states compatibility with Windows 98/Me/2000/XP. Says nothing about Macs.