I've been using Ant Movie Catalog - at http://www.antp.be/software/moviecatalog/ - for a long time because it's
1) free
2) has updateable scripts for finding movie information
3) lets you include cover pictures
4) can export to html, .CSV, and SQL
5) has a bunch of other nice features.
I've used several other catalog programs but Ant works very well, especially since it let me import from the last one I used - converting was a pain but not as bad as it could have been.
So, which catalog program do you use/prefer and what features make it the right one for you?