As I usually use UML more as a communication tool rather than a modeling tool I sometimes have the need to flex the language a bit, which makes the strict modeling tools quite unwieldy. Also, they tend to have a large overhead for the occasional drawing. This also means I don't give tools that handle round-trip modeling well any bonus points. With this in mind...
When using Visio, I tend to use these stencils for my UMLing needs (the built in kind of suck). It could be that I have grown used to it as it is the primary diagramming tool at my current assignment.
OmniGraffle also has some UML stencils built in and more are available at Graffletopia, but I wouldn't recommend that as a diagramming tool as it has too many quirks (quirks that are good for many things, but not UML). Free trial though, so by all means... :)
I've been trying out MagicDraw a bit, but while functional, I found the user interface distracting.
Otherwise i find the Topcased an interesting project (or group of projects). Last I used it it still had some bugs, but it worked, and seems to have evolved nicely since. Works great on any Eclipse-enabled platform. Free as in speech and beer :)
As for the diagramming tool Dia, it's quite ugly (interface and resulting drawings), but it does get the job done. An interesting modeling tool free alternative is Umbrello, but I haven't really used it much.
I definitely agree with mashi that whiteboards are great (together with a digital camera or cellphone).
Probably some of the nicest tools I've used belong to the Rational family of tools.
