Most people use either pokertracker or holdem manager, they both come with heads up display, hand history replayers and a few other things. Very useful especially when multi-tabling. If I'm only playing one table I don't think its necessary as you can get more info on making notes and seeing for yourself who's being aggressive, 3betting, stealing etc.
If you're serious about getting better quickly, these programs are very valuable as you can replay and analyse problem hands from a database and find / fix leaks in your game.