Zotero - Desktop and web versions, free and paid. Collaborate, sync, share citations. Integrates into MS Word and some browsers.
Mendeley - Desktop and web versions, free and paid. Collaborate, sync, annotate, and share citations. Import PDFs and generate citations from scans.
EndNote - Different versions available, goes beyond citation management, integrates into MS Word. Free version very limited.
Comparison Charts
University of Wisconsin-Madison | Penn State | University of Minnesota Guide