The "gold standard" in this category is "Darik's Boot and Nuke" or DBAN (pronounced D Ban).
DBAN is a tiny version of Linux, usually run from a diskette, that contains a program that will erase any hard disk on your computer. It has several different methods, many which are used by the military to securely erase data.
The reason for such a tool is that, even if you erase the data, and write new data, the old data can still be extracted by skilled technicians. DBAN repeatedly writes to the disk, with different patterns of data, to make it more difficult to find the old data on the disk.
[Update: There's a better way. Get one of those "star" driver kits with a few different sizes. I think they're called Torx. Open up the hard drive, and remove the platters. Bend them. Data is now unreadable. If you need to really destroy them, buy pool muriatic acid at the big box home store. Put the platters in a plastic bucket, and pour some acid over it. Rinse, and dispose of the acidic water.]