Mint
Free and online. Free phone apps, too. Almost everyone recommends Mint first and foremost.
"(Mint) shows me how much I’ve spent as compared to the average amount I spend (as calculated by Mint based on an analysis of my spending patterns) each month. Based on the day of the month, Mint determines if I’m on my way to spending more or less than I should. In just a few seconds, I can check the status of the spending categories I’ve chosen to keep an eye on."
-- Rob Berger at Doughroller's
"Ten Online Budget Tools."
Personal Capital
Recommended for people with investments to keep track of, as well as day-to-day expenses.
Manilla
One-stop budgeting control. Pays your bills as well.