With Windows, they automatically come with Windows Movie Maker (but it's pretty mediocre, since it just has the basics). With a Mac, you have iMovie built-in (also basic, unless you upgrade it. This one isn't as expensive as some of the other programs).
There are also dozens of programs out there that can help you. To name a few off the top of my head are Adobe After Effects and Sony Vegas Pro. These two are good (or so I've heard) but both are pricey. After Effects is almost $1000 and Vegas is around $600. They produce professional effects that are great (as you can see from some of the videos from vid-bloggers on YouTube).