I thought it may be useful to list a few common programs people may find handy...
TexMakerX/TeXstudio (Windows, Linux, OS X) - I (Claire) spent a couple of days trying to find a decent latex editor for writing my thesis in, I seriously love TexMakerX and can't recommend it enough. Looks like they've changed name and look from TexMakerX to TeXstudio - I'm guessing the core functionality will be just as good though.
Lyx (Windows, Linux, OS X) - most people who used to like this now hate it. Andy seriously advises not do your thesis in this.
Mendeley (Windows, Linux, OS X) - pretty damn awesome. google "paper title mendeley" and you can view the paper on mendelay and simply click "save reference to library" - and hey presto it's done. None of that looking for bibtex references, copying and pasting into something. Honestly, use this for your references. Oh yeah, and it can auto sync your library of papers/references to a bibtex file, and you just point your paper/report/thesis to use that bib file, then it is all automatic from finding a paper online to referenceing it in your tex. Ok, I'll stop trying to sell Mendeley now.
JabRef (Windows, Linux, OS X)