kile for Linux users.
These are generally almost self-explanatory. kile, for example,
has LATEX and dvi viewers side by side in the button menu bar (for conventional
EPS-based LATEX users),
and pdflatex and kpdf (a PDF viewer) side by for pdflatex users.
Take a look at Fig. (1).
For Mac OS X users one nice choice is iTeXMac2.