I mentioned the Dia (Open Source) diagramming tool for Linux and Windows a few days ago. But, if you use a Mac or don't want to install anything, take a look at...

Gliffy

It is a free web diagram creation service that also allows you to share the diagrams you create. It can also save the diagrams in the SVG (Scalable Vector Graphics) file format. You can import this file into numerous client-side diagramming tools.