While looking for good and cheap/free version control for your project, you can find something like: CVS, SVN and other stuff like Perforce.
At the start of my big programmers life we used Preforce (http://perforce.com/). This is quite good server with nice windows client. And everything goes ok with perforce. Frankly, I like it. A lot of control in terms of checkout/checkin, good diff. And everything looks professional. Maybe because this is commercial stuff ?

 But later I've started to count projects budget. Yes, maybe bad times or ... Anyway I've start looking for something free. A lot of GPL stuff over here, and sometimes it really helps. So, what I need? I need a version control systems that can work with quite large project without 10 minutes delay if you hit refresh. Something quick! And I've found SVN. First of all we need a server. Usually, I (as a windows developer) have a tons of Unix/Linux servers all over the world. I need a server that runs well on window. And I've found it - http://www.visualsvn.com/server/  (look, server is free)

Ok, server is found. What next? Client? AnkhSVN (http://ankhsvn.open.collab.net/) Looks good and embeds in VS 2005 well. Although, I can say the one thing - not very good. Maybe I've too big project? Yes, it's very-very big. And this is bad. I can't say that version system not to take my image files ( I can say it, but I need to check files one by one ). I don't like this, but you should try. It's completely FREE! As well as server mentioned before.

And now I started to try old good thing for SVN! TortoiseSVN client. http://tortoisesvn.tigris.org/
This thing embeds into windows Explorer. This is good advantage - no matter what are you using for development (VS, Web Developer or Notepad).

It's works better. But i'm going to try VisualSVN. And I'll write about this later. 

And remember, version control is required thing for every project, even if you are individual.
Every thing just for information.