rmiller1985 - Chessbase Light 2009 or Chessbase 10 or 11 most assuredly has a graphical user interface. It is used mainly for working on your opening repertoire, preparing against players you are about to face, or searching for particular types of games. You can start up an engine, add variations and comments to your games, and compare your opening play to other players. Chessbase comes with a number of engines, or you can download and install a wide range of UCI or Chessbase engines for free.
Fritz 11 or 12 is intended more as a program for playing against, but it does have an auto-annotate feature where you load in a game, and it will add in comments and variations giving its interpretation of where mistakes were made. I don't really trust its annotations, but a lot of beginners seem to like that it will try to explain what went wrong. Chessmaster 10 or 11 has a similar auto-annotation feature, and chess.com offers a similar service.
If you are looking for a free database program, SCID is the usual choice. Arena as you say is for playing against.
Thanks for all the advice everyone. I wish I was less confused now, but I feel like I'm more confused than ever. And that's frustrating, since I've been in software development for over 20 years, and I've never before been this frustrated trying to figure out the point of different software packages.
Since I'd like to know what I'm getting into, I decided to try the free route first. So based on recommendations here, I went to the website for Houdini -- and found out that this engine has no GUI. Huh? Software in 2011 that has no user interface?? That just sounds ridiculous to me. But there was a link to the Arena website on the Houdini page, so I thought, well, what the hell, I'll go ahead and download a free GUI as well. So I did.
Maybe it's just the GUI, or maybe I haven't spent enough time trying to figure it out, or maybe my ability to understand new software is diminishing with age, but it looks to me like this is simply a play-chess-against-the-computer software package. It's very customizable, which is always nice, but I don't really care about that, and I don't want to play against a computer. What I want is something where I can plug in games that I've played and have a computer tell me where I've made a mistake and why. I tried plugging a PGN string in from a chess.com game, but was unable to figure out how to get the game analyzed so that I could step through it and see how I was doing at any one point in time, like I can on chess.com with my chess.com games.
So I started thinking, well, maybe I should just buy Chessbase, a lot of people here seem to like it. And then I read bhandelman's comment above, that Chessbase does not have it's own interface. WHAT?? ANOTHER piece of chess software that doesn't have an interface?!? What is up with all of this chess software? Engines without GUIs, databases without interfaces... Doesn't somebody publish a decent package that has everything you need to be able to analyze a chess game??
So there's my rant. Now, in my more rational moments, it DOES sound like ChessBase is what I'm looking for. But will it really be impossible to use it WITHOUT buying a ChessBase engine to go with it? I mean, geez, almost $200 for the cheaper product, and I still have to shell out more for something to make it USABLE?
Thanks,
Rich