Check out MuseScore
http://www.musescore.org/
Its terrific and open source.
EDIT: Sept. 2011: http://musescore.org/en/download
Edit: No Longer in Beta, and very useful.
EDIT: As Open Source implies, this is a collaborative effort. It has a fantastic group of developers and wonderful support. It is being translated into many, many languages and is available for Linux, Mac and Windows.
Highly recommended.
(I am not a part of this product except as a user).
EDIT: Here is a comparison of MuseScore and Finale Notepad. This is a MuseScore site. http://musescore.org/comparing-musescore-and-finale-notepad-feature-feature
EDIT: Beta 0.9.6 beta 2 released: http://prereleases.musescore.org/windows/
EDIT: 0.9.6 released http://musescore.org/en/node/6002
Edit: 1.0 released.
Edit: Getting better and better.