+1 to Adam Dray's answer. Just a few more notes based on my experiences.
I use Scribus, Open Office and Serif.
Serif is really easy to use.
Scribus is hard on your processor, but very powerful. You can create really comprehensive styles, position everything very nicely, make changes mid-stream. Great program, but runs slow on cheap computers.
Open Office is super nice. Columns is one of the things I really like about Open Office. I think it's a lot more intuitive, easier to control and shows you a lot more options compared to Microsoft Word. Open Office won't check grammar though, so Microsoft Word is still better in that regard, even if it gets the grammar checker wrong some of the time.
Open Office doesn't do as much graphics and cool font treatments as I'd like, but you could do all your graphics and font stuff in GIMP and put it in your Open Office documents as images.