On the Developer Tutorials blog, there's a new post showing you what all you'll need to install to work with WordPress offline "like a pro" on your local machine.

I used to work off of my web server but the problem I've had lately is that when I'm not connected to the internet I haven't been able to code for Wordpress in a way that allows me to view my changes. Since I started using the techniques used in this tutorial my productivity has increased significantly.

His method has you install MAMP on your local machine (for the Windows users, WAMP is just about as easy to set up) and how to import content over from your remote server to the local machine. Of course, you could just set up a subversion repository, but that's another tutorial...