America Online is now free for anyone who has broadband. They have a very good assortment of kids stuff that you can limit your child to based on age range. You can turn features on and off for them via parental controls, and you can get activity reports. Works pretty well, easy to use, lots of AOL content for kids.
We use the latest Net Nanny. They seem to have been bought out by or have rebranded the program as "Content Watch". It's good, on WinXP anyway. About to install it on a 2nd computer...I need a volume discount.
My family uses Integrity Online. It is a proxy server based filtering system. I think we pay $50.00 a year but it is ever updating as it's server based. Also included filtered email accounts for kids that completely blocks all SPAM and suggetive content by scanning the message not just the header. Check them out.