If you're concerned about completely deleting any sensitive information on the hard drive (financial records, for example) use <A HREF="http://staff.washington.edu/jdlarios/autoclave/" target="_new">Hard Disk Autoclave</A>, a nifty little free utility that will wipe your disk clean, period.
The downside is that the thing takes forever to run as it actually writes and overwrites every single sector of a hard drive (~16 hours for my 120 GB). It's probably overkill for most, but if you are paranoid or have genuinely sensitive information its the way to do it.
<b>1.4 Ghz AMD T-Bird underclocked to 1 Ghz...just to be safe!</b>