For me it's Enterprise Architect from Sparx Systems. A very rounded UML tool for a very reasonable price.
Very strong feature list including: integrated project management, baselining, export/import (including export to html), documentation generation from the model, various templates (Zachman, TOGAF, etc.), IDE plugins, code generation (with IDE plugins available for Visual Studio, Eclipse & others), automation API - the list goes on.
Oh yeah, don't forget support for source control directly from inside the tool (SVN, CVS, TFS & SCC).
I would also stay away from Visio - you only get diagrams, not a model. Rename a class in one place in a UML modelling tool and you rename in all places. This is not the case in Visio!