I thought I'd bring this nifty app to your attention. I'll start by saying that I'm not affilated with AxoSoft, I just happened upon their site one afternoon and found that they offer their bug tracking tool free of charge for single-user installations. They basically offer a Windows client, Web client and VS.NET client and database backend to a well featured bug and new feature tracking tool. It utilises a SQL Server database, so you'll need either a version of MSDE or SQL Server Personal Edition but obviously they're availble free of charge too.
After you've installed it, you can get a product key from the site to unlock the tool(s) you've installed indefinitely. I realise that outside of a team environment lone Developers often find it unnecessary to use such a tool, but I've found it to be pretty useful since installing it. So, I suppose YMMV :)