Web: Google Voice is a pretty good way to record and transcribe voice memos for yourself, but that's not an option for lengthy recordings of interviews and lectures. For that, my weapon weapon of choice would be oTranscribe, a free and open-source webapp.
Add an MP3 or WAV file to oTranscribe and you can start playing it. There's a word processor available to type and everything is automatically saved in your browser's cache -- your audio file and transcript are local only and never leave your hard drive.
The best part of oTranscribe, though, is that it can be entirely operated with a keyboard, which is essential for transcribing. For example, you don't want to keep moving your hand over to the mouse to rewind or fast-forward. oTranscribe does all this with keyboard shortcuts to play/pause, rewind, fast-forward, slow down, speed up, text formatting (bold, italics) and the ability to insert timestamps. I especially liked that if you pause, it automatically rewinds a couple of seconds when you hit play again.