OligoAnalyzer (IDT)
Cool tool for oligo analysis. Features include analysis of hairpin, self-dimer, heter-dimer, and other basic parameters.
http://www.idtdna.com/analyzer/Applications/OligoA

Primer3 (Whitehead Institute/MIT Center for Genome Research)
Very popular primer design tool for designing primers for PCR, hybridization.
http://www-genome.wi.mit.edu/cgi-bin/primer/primer

Primerfinder (Univ. of Texas-SW Med. Ctr)
Easy to use, free, online primer design program
http://eatworms.swmed.edu/~tim/primerfinder