I really enjoy Celtx, mainly for the organizational properties that it carries. This also bleeds over into Liquid Story Binder XE, which also carries a ridiculous amount of features that I haven't been able to fully explore quite yet.
Although I think if anything, writing programs have more or less solved the problem of my losing numerous sheets of paper all of the time.
From the first page of search results.
If you're looking to put a gun to your head, there's always The Most Dangerous Writing App.
I haven't actually used this myself as I'm rather attached to Scrivener, but I've heard good things about it and it has a demo you can try out.
I can't comment on its performance when a project gets big, hopefully someone with experience can talk about that.
I've spent time with a few, and I like different aspects of each. I can honestly say I haven't found my favorite ... yet. yWriter has been mentioned already, so I'll skip it here.
So, to answer your question properly, I use all three of the above (plus Microsoft Word) depending on what I'm doing; I prefer StoryBox at the moment, but I'm always keeping an eye out for something else to try.
Other suggestions: use a remote storage system for backups. Drop Box, Spider Oak, Google Docs ... you get the idea. I've been saved twice by having a recent backup that wasn't on my own PC. You could also use Mercurial or Git (version control systems) to track changes as you write (great for seeing your editing history), though those tools may be a little unfriendly to learn.
TL;DR: I use StoryBox, Word, DropBox and Mercurial most of the time.
Mac: Scrivner -My girlfriend uses it and she loves it.
Windows: Liquid Story Binder I've not used it and neither has she. I have however heard many good things about it.
There's also Liquid Story Binder, which runs a half price sale every November. If you're willing to put up with the steep learning curve, it's a pretty awesome program for planning and plotting. Also has a nice fullscreen writing feature that I like to use for NaNo.
I hired out for the cover and ebook formatting, because frankly, I suck at that stuff.
I will say that as far as tools go, I highly recommend Liquid Story Binder. I do my actual writing in Word, but I do all my plotting and character work in LSB.
Aside from Word I'd suggest you look into Scrivener there's a windows beta somewhere. There's also a few programs like this for windows already but I can't remember the name of any of em at the moment.
EDIT: Oh yeah http://www.blackobelisksoftware.com liquid story binder.
Not sure if any of these offer graphs of your progress but they go a long way towards helping you organize your story and stay on task.
I use Momentum Writer which has this functionality. No scroll, no backspace, no editing at all. Forward, forward, forward. It's a life saver for sprints as well as general freeflow writing.
I've heard of people using index cards and pinning ideas to a bulletin board. It's as low tech as you can get but its nice to be able to see it all at once an move cards around if they fit in better in other spots.
Personally I use Liquid Story Binder. It's meh. I'm probably not using it to it's full potential
I didn't read it all but the first few sentences were fine.
If you have trouble trying not to edit, you should check out a Momentum Writer program like Write Or Die or... well, Momentum Writer. These are suites that take away your ability to delete and backspace, keeping you on track no matter what mistakes you make or anxieties you conjure up.
My vote goes toward [http://www.blackobelisksoftware.com/] Liquid Story Binder.
This software has changed my life as a writer. I looked at Scrivener but it was only for Macs at that time, so I found LSB instead, and it's so much more customizable for me. You can set it up to have just about any color scheme imaginable, which makes it much easier on the eyes, as well.
It does character dossiers, mind maps, outlines, media organization (which is great for faux casting of characters, or story boarding, or images that inspire your settings, etc.) manuscript building, you can build your own workspace, and it's portable, so you can install it to a flash drive and take it with you, never being pinned to only one computer.
The most important feature for me is that it auto saves. I've never lost a word of work.
You can do a ton with color-coding too, so it's just a very visual, customizable, amazing piece of software.
It's normally like $45 but its on sale for spring for half off. There's a 30 day trial you can play around with first, but I don't think I could write without it anymore.
For really big stories, Liquid Story Binder is pretty awesome. You can make character portfolios for NPCs or locations, including pictures, music, notes and such, track story arcs, and keep all sorts of info.
Not free, but very often (usually in November) goes half price. This thing is really nifty. I use it to work on novels I'm building in addition to games.