When I study, I like to not hear anything that makes me thing about what i'm hearing. So, I have a good pair of headphones that block alot of noise, and then I run one of these two programs to drown out the rest.

whitenoise:
http://www.eecs.umich.edu/~pelzlpj/whitenoise/

It generates white noise through the computers sound card. Not much to it really, although I havn't really played with all the options.

and

boodler
http://www.eblong.com/zarf/boodler/

This one is pretty neat. It generates "soundscapes" from a library of sounds, never repeating itself. The website explains it way better than I do. I find the thunderstorm ones pretty handy for studying. It isn't as harsh as white noise can be when you're tired.

As far as I know these only run on linux.

If anyone knows of any other programs, post them up!