It probably mostly depends on how good you already are at chess. If you
aren't particularly good (or don't really know how good you are), then
I strongly suggest Chessmaster (either 9000 or 10th Edition, which are
both very much worth the price).

If you are good at chess (and by "good" I mean at least Class A, or an
1800 USCF rating), then you might want to pick up one of the Chessbase
programs. I'm not too familiar with their entire product line, so
somebody else should recommend something here. If you don't want to
spend any money, then I suggest downloading WinBoard (GUI), Crafty
(excellent freeware engine) and SCID (shareware database). With those
three, you'll get pretty much everything you need to at least get a
start.

jm