I use Xampp from Apachefriends. http://www.apachefriends.org/en/xampp.html It has been a great timesaver. It has all the main items I need (Apache, PHP 4 and 5, FTP, etc). It runs on windows or *nix. You can have a server setup and running in under 30 min. Not counting the OS.
One note, I use...