Javascript:
a=0,b=-1,d=-4,c=1e6;while(c--)a+=(d=-d)/(b+=2)
In javascript. 51 characters. Obviously not going to win but eh. :P
Edit -- updated to be 46 characters now, thanks to Strager. :)
UPDATE (March 30 2010)
A faster (precise only to 5 decimal places) 43 character version by David Murdoch
for(a=0,b=1,d=4,c=~4e5;++c;d=-d)a-=d/(b-=2)