I use Final Draft (purchased, not pirated -- there's a reason I took that well-paying software job), but really, any auto-formatting screenplay program will work when you're just starting out.
I was shocked at how much better my screenwriting got when I could just focus on writing without having to spend any mental energy on formatting the darned thing. I'd say start with Celtix, and if you start hitting any limitations or annoyances then save up and get Final Draft at that point.