At work I use Advanced Web Ranking software to check my website ranking and perform a variety of other tasks. Let me go through some of the things that this program allows you to do.
Ok, first and foremost task that I use it for is checking our current rankings for various terms in different search engines. This program has a really cool interface that shows you the graphical representation of you rankings over time. All you have to do to track rankings for a particular keyword is to add this keyword through their GUI and then the system will automatically regularly check its rankings and record it in its database. So, all I do is just look at their graphs to see how my kewords were behaving for the past few months (you can set the time frame of course). For example see this picture (showing example search engine rankings and taken from their site) :
Alternatively you can use this tool to show you the rankings of a particular keyword across all engines by choosing "Search Engine Rank" tab. In this case it's easy to see how your keyword was ranking amongst different engines and I suppose you can see on which engines your SEO strategy is working and where it doesn't.
Now another thing I use it for is tracking rankings of our competitors. You can easily enter keywords and competitor URLs that you want to track. What's more you can set a different colour for each competitor graph, so when you later look through your graphs you can easily see which graph represents which website.
Now, it's interesting that I know people who use this tool and to check the rankings they actually run it manually every now and then by pressing 'play' button. Of course you can do that, but I prefer using their automatic Scheduler which lets you set up the interval in which you want the software to query the engines. This way you can set it and forget about it, and then if you want to check your rankings in 2 months then all the data is there and you just have to click at the reports.
I guess another good feature of this program is the fact that it's so to speak "search engine friendly". It retrieves search results one page at the time with a pause between two consecutive pages. This of course emulates a human like behaviour and thus you are unlikely to get your IP banned by the search engine. Furthermore it will only do a one query at a time on a specific search engine, thus further reducing your risk, and will stop the search as soon as your site is found. Also it's good to know that it runs on all platforms and apperently the only SEO software that runs on Mac OS X.
If you would like to have a go then there is a 30 days free trial period.
I know lots of SEO industry people who use this tool and don't even think there is an alternative to it. Also, another thing that some people like is their Keyword Research Tool
You can see all the features of this program here.