Well that really depends on what you're looking for.
There are programs ranging from free to rather expensive (for whatever quality you're looking for), and generally speaking you have two options for recording.
1. You can Mic your amp, so you can go ahead and use all of your effects and whatnot right then and there.
2. You can plug into your comp, and start as a clean guitar signal. You can then add effects from a library (from the programs I've seen) to get the desired sound.
It's really just preference.