For Unix, ispell has long the program of choice; it is well integrated with emacs, and deals with some TeX syntax. However, it is increasingly challenged by aspell, which was designed as a successor, and certainly performs better on most metrics; there remains some question as to its performance with (La)TeX sources. Aspell appears as an option in most Linux distributions, but is not available on CTAN~- see http://aspell.sourceforge.net/ for further details.
For Windows, there is a good spell checker incorporated into the WinEDT and 4AllTeX shell/editor. The 4AllTeX checker is also available as a separate package, 4spell.
For the Macintosh, Excalibur is the program of choice. It will run in native mode on both sorts of Macintosh. The distribution comes with dictionaries for several languages.
The VMS Pascal program spell makes special cases of some important features of LaTeX syntax.
For MSDOS, there are several programs. Amspell can be called from within an editor, and jspell is an extended version of ispell.
4.x - such versions represent a divergent version of the
source which lacks many useful facilities of the 3.x series.
This question on the Web: http://www.tex.ac.uk/cgi-bin/texfaq2html?label=spell