If you're just getting started out in web development then chances are that you're not going to know exactly what you need. I'm going to tell you the different applications I use as a PHP developer. Although I'm doing this based on my PHP experience the setup will be similar for other languages such as Ruby on Rails.
The first thing I install is XAMPP. It's available for Mac, PC and Linux. It's a great little application that installs everything you need, Apache, PHP, MySQL, phpMyAdmin and all that other stuff that you don't need to know about. Using something like XAMPP means you can get into coding right away without having to install lots of different packages. There are similar packages such as WAMP and MAMP, I have only use WAMP briefly on Windows but quickly went back to XAMPP.
For coding I use Coda, an excellent app from Mac software developers Panic. I used to use Dreamweaver which as a text editor was great but the bloat that came with it meant waiting minutes on the app loading just to make a quick edit to a site. Coda has built in FTP that works more like OSX's Finder as well as Terminal built it. It offers you an easy way to manage your different sites with different FTP and SSH connections. The built in browser in Coda makes debugging your CSS a breeze as you're not having to switch applications every time you make a tiny change.
For Windows users the best thing I've found to code in for me personally is Notepad++. Notepad++ is a free notepad, pretty basic and barebones but it does the job. You can download extra plugins from the site to add more functionality to it such as FTP and SVN.
Safari. My browser of choice. I know Firefox has the excellent developer plugins but it doesn't match Safari's sleek UI or speed. I use Firefox on occasion for things like the Web Developers Toolbar, Firebug and Colorzilla. Those plugins help speed up the development process significantly.
For FTP I usually use Coda's built-in FTP functionality as I find it's usually capable of doing what I want it to. But when I want a bit more control I use Forklift. Forklift is another Mac only app mimicking Finder's interface makes it really easy to get used to. It has the functionality of tabbed browsing which makes it really easy when uploading files from multiple directories or downloading. For Windows users I've found Filezilla to be the best though if you're not after a dedicated FTP client then there's a great little plugin for Firefox called FireFTP which I found to work pretty well.
Those are the main applications I use to build sites on a daily basis. What applications do you use to build sites? What would you recommend to beginners?


Sachleen
When I was developing PHP on a Mac, I used Smultron (http://smultron.sourceforge.net/) It's a lightweight text editor with syntax highlighting, that's basically all I needed. I use Transmit for FTP. On Windows, I use Notepad++ for all of my developing. I used to use Dreamweaver, but I never used most of its features (although FTP was nice) so I started using a simple notepad. For FTP on Windows, I use FileZilla and Firefox with Web Developer and Firebug extensions. I also use Color Picker (http://www.allgraphicstools.com/) but am looking for a more advanced alternative. There are *a lot* of color pickers out there... any suggestions?