Which one do you use and why is it so great
  • Zotero
    • free, open source
    • integrated with firefox: one click adding to your library
    • store pdf and fulltext snapshots with your citation
    • organize citations in collections
    • store data locally and online for easy access at multiple workplaces
    • (of course) easy import/export of bibtex
    • share citation collections in groups: distribute knowledge among your colleagues
  • Mendeley Desktop
    • free, but not open source
    • available for mac, windows and various linux distributions.
    • organize citations and sync with webserver
    • excellent search capabilities
    • in-built pdf viewer
    • can generate (and keep it up-to-date) bibtex entries of all citations or per collection
  • Papers2
    • for Mac & Windows
    • seamless integration with other programs (add citations to Word documents, emails, etc)
    • great management of articles
    • PDF annotation (highlighting, comments), PDF viewer
    • brilliant meta-data extraction and automatic annotation
    • not free, but there's an academic discount

You can find comparison of citation managers on wikipedia.

If you want to get bibtex entries directly from pubmed, use this to query:
http://www.bioinformatics.org/texmed/cgi-bin/query.cgi