If you have the money to fork over than some good programs are
Logos 4 (I do not own this one, but have only heard good things, and I wish I had it, but the person who gave me the other programs had run out of licenses for this one. I heard they have a free version, but I have yet to find it!)
Bibleworks 8 (I LOVE this program, I own it and all the modules, it makes Bible study so much easier because you are not always flipping through Strong's or a Greek/Hebrew lexicon. Only down side, there are no commentaries except the Matthew Henry.)
QuickVerse (I have the 2010 edition. This program is really nice because it is essentially a GIANT Christian library on your computer.)
Christian Library Collection (This is not very advanced and it is probably out of date, technology wise, however if you need a good and extensive library of Christian works and need it really cheap, this is the program for you! I think it was all of 20$ and I got lots and lots of books and works.)
Some more free programs are
The Word (I do not like this as much as e-Sword, but many people like it more than e-Sword. I am biased since I started with e-Sword and I always use it, even when I am using Bibleworks and Quickverse)
Xiphos (I have it, I don't use it much unless I need a really simple program that is light on the computer.)
e-Sword (I just had to chime in. I LOVE e-Sword! It is so friendly and easy to use. The key to e-Sword is that you have to buy the Bibles and commentaries, HOWEVER if you own a copy of the Bible translation or commentary you want than legally you can get the version for e-Sword without having the buy it. There is a website just for this purpose and it works on the honor system, but who is gonna steal a Bible!?)
InVerse (Not a Bible study program, but it is still a good resource! This is a very nice program to help you memorize Bible verses. It even will test you and gives you many different ways to practice memorizing. e-Sword has something like this, but I think InVerse does a better job.)
---
Also, e-Sword has an online version, called e-Sword LIVE. It has many more Bible versions and commentaries and is great if you need a good program that is VERY light on resources and also VERY portable. All you need is a free account.
I think, even though programs are great, we should have some hard copies to. What if the power went out and you needed to do some studying? We should not rely on technology alone!
First of all, the most essential tool to any study is a Bible. Not just any translation will do, however. Good literal translations are needed for serious study, but a more readable Bible should also be on hand. There is a mutli-translation Bible around that has the KJV, NASB95, Amp., and NLT all in parallel. It is also considerably cheaper than buying the four Bibles separately and it has room to take notes!
You should have some kind of concordance, and I do not mean the five page concordance int he back of the Bible! I recommend the Strong's because Strong #s are the accepted means to convey different words. Also the Vine is good and it comes in different versions, depending on the Bible you are using (the Strong's MAY come in different translations, but I have only ever seen the KJV).
If you are REALLY serious, a good lexicon will be useful. This takes the basic definitions found in your concordance to a whole new level. Find one that corresponds with Strong's #s.
A decent commentary is NICE, but NOT needed. Matthew Henry's concise or exhaustive is a good, safe bet. You can find them very cheap and free sometimes. If you are OK with printing or and saving things off the internet than Dr. Constable's commentary is really nice and REALLY free! (
http://www.soniclight.com/constable/notes.htm )
There are others but these are the two I will mention. I will also say that the Pulpit Commentary is deceptive. It LOOKS like it will be a great commentary, but it is very weird in some areas. Use it carefully, if you decide to buy it (I know ChristianBooks has been selling the entire set for REALLY cheap lately)
A good dictionary is nice to have. Most probably have a dictionary already, but it is not the right one! Get the first edition Webster's English Dictionary. This is an amazing dictionary that is untouched by the hands of the secular world. You can find it in most bookstores or second hand shops.