In the Windows world there is MS Visio for diagram drawing of all kinds. On Mac OS X there is OmniGraffle, a phantastic diagramming application with a 100% Mac look-and-feel. Omnigraffle comes in two versions, standard and professional. I have the professional version and if you plan to do some serious diagram drawing I strongly recommend it (check here for a feature comparison).
The developers just released Version 5. I cannot comment on this version directly, since I have not upgraded yet. OmniGraffle 5 Pro claims improved Visio compatibility, one of the key features of the Pro version. In my experience, the compatibility of Rev. 4 was not very good with text and shadings not being well supported. When using OmniGraffle diagrams on Windows, my standard path is to export as 300 dpi PNGs which have excellent quality at small file sizes.
At $200, the program is not cheap, but well worth it. This is still $60 cheaper than the standard edition of Visio. The Professional version of Visio costs 3 times as much. There is also another commercial application with both Windows and Mac versions by the name of ConceptDraw. Apparently, the Mac and Windows licenses have to be purchased separately, at $250 each not cheap. The advantage is good cross-platform compatibility, but it doesn’t have the Mac look-and-feel that makes OmniGraffle so much fun to use.
For the budget conscious, there is also a good (and free) vector graphics application called InkScape. I briefly tested it and it seems to be very capable, albeit, not as pretty and feature-rich as OmniGraffle. Also, it requires X11 to be installed. In my experience, applications requiring X11 tend to be less integrated and to have less of a Mac look-and-feel to them. Last not least, VectorDesigner is a recent addition to the vector graphics applications. While I acquired a license through the 2008 MacHeist Bundle I have only briefly tested this app. I like the look-and-feel, but my first impression is that for just $30 more a basic OmniGraffle license seems like a better deal.