I'm a big open source guy and have tried a lot of them. GnuCash is one of the oldest and most well known for double-entry accounting in the Linux world especially. If you're a Linux person, GnuCash was stuck using GTK1 for a LOOOOONG time and is a huge dependency nightmare when trying to install it. The new 2.x series has been updated to use GTK2, but from what I've heard from other users, it's a bit buggy and not quite up to the stability that it used to have. I personally used the older version for a couple months and thought it was alright. Kind of a weird interface and not very user friendly. Aside from that, it was powerful, but I never had enough data to really look in to the reporting features and see how it did.
I currently use and like jGnash (have been for almost 2 years straight now!), which is a Java-based personal finance application (meaning it should work on any operating system). I liked it since it is still a double-entry accounting program, it didn't have the dependency craziness of GnuCash, and I could directly import my GnuCash data (as well as QIF data if you're using Quicken). It does pretty much everything I want, and isn't too hard to figure out once you've got your basic account setup done. The real trick is to only use the register tab to enter things in and hide all the accounts that are only for categorization from view. For instance my register tab only lists things like checking, savings, credit cards, cash, and loans.
The reporting feature of jGnash could use some expansion to be more useful, but it's not horrible and the developer will be focusing more on reports in the future. That's another thing that I like about jGnash, and that is the developer is quick to respond to bug reports and is open to ideas about new features. He releases updates fairly regularly and is great at communicating with his users. Try getting that with Quicken
It's definitely not perfect, but I think it's moving in the right direction and I've been happy with for the time being. It does not download your bank data automatically, but that's how I prefer it. I use it more like a software ledger that can give me more interesting information than if it were on paper. Anyway, if anyone has any specific questions regarding jGnash, I can probably answer them.
I have also tried some of the other ones mentioned here (albeit briefly), but felt that they didn't really click with the way that I want to track my finances. That includes Pear Budget, Grisbi, and a couple others I can't remember. Another one to look at if you use Linux and KDE would be KMyMoney.