Finding a good niche seems the most important and interesting for Keyword Research..
What I really found useful are Raven Tools what @David mentioned and Keyword Tools from WordTracker.
SEMRush is also really good and what I'm really obsessed right now it NicheBot (found here http://www.seomoz.org/dp/the-internet-marketing-handbook ). It seems it's integrated both WordTracker Tools and SEMRush and for a much achievable price.
Also I've checked HitTail.com which shows you the exact long-tails and you don't need to figure them out yourself. It wokrks only if you already have and existing site with visitors.
How were your tests? Interested in what you've found!
