When I write screenplays or stage plays I always forgo the formatting with the first drafts any way. It ends up looking like this...
MARY
(picking up the knife)
Are you insane?
FRED
(drops and starts doing push-ups)
Yes - one - I - two - am - three - in - four - sane.
After the story is out of me and on my hard drive I go back and format. Depending on the bells and whistles you need/require match it up with your budget and like Will says find one you like then take the time to learn to use it.
Because of the way I write first drafts then go back and format, regular old word processors work for me. Maybe not you but when you build your own computer it doesn't come bundled with MS Office. So I found three, free word processing solutions.
First, check out Sun Microsolutions answer to Microsoft Office called "Open Office" It has bugs and is considered a work in progress but it is free. Go to openoffice dot org to check it out.
AbiWord is a free opensource word processor. It's put together really well. I haven't tested this one extensively but it does what I need it to.
The last one I've tried Jarte. This is a free word processor as well. It's bare bones basic and the buttons are not where you'd expect to find them but once you get used to it, it works very well. You can find it at jarte dot com.
There are other free ones out there (google) but none of them (that I know of) are specific to formatting screenplays. Just thought you'd (or others) would like to know.