I just set up GnuCash (a financial management package) and I'm fairly impressed. It's simple to import the QIF files that my credit card and bank provide for download. This means that with just a couple of clicks, I can create reports showing exactly where my money came from and where it went.
The big things I learned? I should probably use cash a litle less, so I know where that money goes (I have a pretty good idea, though - food and beer). The other big one is that I need to stop eating out quite so often, which is nothing I didn't know already.
I'd love to recommend the software to family and friends, but right now it's Linux-only (and can be run on Macs, thanks to their UNIX core). The new version is GTK2, though, so hopefully a port will be coming soon.