I'm blown away by PerlPrimer - this is what I've been needing for ages. Basically, it's a utility for designing PCR primers, but the automation and comprehension of this program is above any other similar tool I've seen.
It's free and open-source, for a start. It uses Perl and Perl/Tk (which is easy to install through CPAN). DNA sequences can be retrieved directly from ENSEMBL, including both cDNA and genomic DNA sequences for RT-PCR primer design. You can click-and-drag to adjust the area to be amplified, detect a list of primers, then double-click on the results to see the most stable primer dimers. The RT-PCR primer design automatically fits primers around intron/exon boundaries. BLAST searching primers takes one more click. It detects ORFs and CpG islands, and shows all the details on a graphical and copy/pastable view of the sequence, including translation. There's a full tutorial, with screenshots, and a detailed overview of the algorithms used, with references. It's great.