Transcribe! - Not free, but definitely worth the money if you make use of all the features.
Amazing Slow-Downer - Evaluation version allows you to slow down the first 25% of the song. There are perfectly legal ways around this limitation (think about it)
Audacity - Not so useful for this purpose because it doesn't do real-time processing, i.e. you can't change tempo on the fly.
By the way, I just updated to the latest version of Transcribe! Great piece of software (and yeah, it actually does have an exclamation mark in the name
)