I use Scid, with Robolito. (I like free stuff)
I have Fritz, but also dont like the interface, and it hangs my pretty old PC. Making different bases in Scid is just much easier for me. I download game collections here:
http://www.pgnmentor.com/files.html
and here:
http://chessok.com/?page_id=694.
For mate in x puzzles, there is a really cool little program (the free version is highly functional) called problemiste.
http://pagesperso-orange.fr/problemiste/
If you are into composing, this is a must to check your efforts forr cooks and flaws.
For diagrams, I use EPD2DIAG
http://www.rebel.nl/epd2diag.htm.
Cool stuff, and it didn't cost me a penny.
Chess Position Trainer - Great product for free!
Chess Mentor III - Excellent tool
ChessMaster 10 - Nice tool
Fritz 5.32 - Free and fabulous!