For a gratis program you can try ArcGIS Explorer, which comes in desktop and browser versions. I quick search using the browser version didn't show any data sources for lat/long lines, but with the desktop AE you can add a reference grid (also called graticule).
Open source: For desktop use, using data from your own computer, have a gander at Quantum GIS. For using internet data and local data UDig is worth looking at. These are only two of a number of good programs, see freegis.org for more.
If you have some money to spend Global Mapper is very good at combining internet data sources and using different projections, and then of course there's the category defining (and expensive) ArcGIS. I've heard good things about Manifold GIS, but haven't done much more than look at it.