I would recommend, as others have, The Reformation Study Bible. I use the new one out using the ESV. Another good one is The MacArthur Study Bible, as has already been mentioned as well (although I don't own one at the moment). A third one I have is The Life Application Study Bible. I've not used it a whole lot, but I have a copy that I've had since I was in high school, and while I don't always agree with it, it does a good job of helping to apply the Scriptures, which is ultimately what we should be doing when we study the Bible in the first place.
A good one as well (and I don't own one of these either) is The Key Word Study Bible. This is wonderful for word studies because it has key words pointed out and the definition for the original Hebrew or Greek presented.
Just my <img src="/forum/images/graemlins/my2cents.gif" alt="" />