If you want a cross-platform desktop app, then Celtx is the best free solution:
Celtx helps you pre-produce all types of media - film, video, documentary, theater, machinima, comics, advertising, video games, music video, radio, podcasts, videocasts, and however else you choose to tell your story.
All In One
Unlike scriptwriting software and sites, you can use Celtx for the entire pre-production process - write scripts, storyboard scenes and sequences, develop characters, breakdown & tag elements, schedule production, and prepare detailed and informative production reports for cast and crew.
Celtx is designed to help your entire production team work together on a single, easy to share project file - eliminating the confusion of multiple project files, and the need for 'paper and binder'.
Commercially, there is Gorilla, which is Windows and OS X compatible and has many more features than CeltX and I've heard is very good (but I've never used it).