NetNanny has been around for years. My cousin used it for her kids when they were younger and she seemed to like it.
The best thing you can do is just be there and know what they are doing and who they are talking to. Don't be afraid to ask them about it. The internet can be a dangerous place these days and asking them who they are talking with online is no different than asking them who they are hanging out with on a Friday night.
Software can help, but eventually they'll learn their away around those tools. If you want to limit your kids time online, limit it. Tell them they can be on for an hour. When an hour is up, tell them it's time to get off the computer. My son is 4 and loves to play games on disney.com and nickjr.com but he also knows he is not to play unless he asks first and I say it is ok. He also knows that when I say it's time to stop, he is to stop. Simple as that.
We don't usually let our kids on the computer/internet when we're not home, and I check through the history & temporary internet files on a regular basis to get an idea of where they've been "hanging around". I've never tried the Net Nanny-type software, but I think nothing can beat good old fashioned parental supervision!!
NetNanny is very good (My sister has used it, and I plan on as well when my children get a little older), but Gregg hit the nail on the head when he stressed the important of communication with your children. Good, two way communication will do much more than any software ever will.
“Programming today is a race between software engineers striving to build bigger and better idiot-proof programs, and the Universe trying to produce bigger and better idiots. So far, the Universe is winning.” - Rich Cook