On a developers computer it is important that we should be running some sort of developer enviroment. The main types of web server software consists of either Apache which is an open-source and free web server and the Mircrosoft IIS Web server. If you are really hardcore you probably run both along with MySQL and SQL Server. (using the term lightly).
My typical developing enviroment consists of…
WampServer (MySQL + PHP + Apache)
IIS 6.0 SQL Server Express 2008
HeidiSQL (MySQL GUI)
MultipleIE (browser testing)
FileZilla Client
Photoshop + Dreamweaver
Having your own web server saves alot of time when it comes to testing without having to upload pages online. IIS runs through port 8080 and Apache runs through port 80 so they do not conflict.
What is your setup?