Just today I shopped at the bookstore for Study Bibles as gifts for baptism this week. Study Bibles are great tools to help understand the Bible, primarily because they provide easy access to study materials alongside (or underneath) the biblical text. Dr. Albert Mohler has written a great article on the selection and use of Study Bibles. I heartily agree with him on his three options.
I just bought the ESV Study Bible for the baptism gifts and am excited for those who will receive them (though, if anyone is interested, I'm still waiting on my own :)). The Apologetics Study Bible (which you can find a review for on Passion for Preaching) is another great option that I received as a gift a few months ago. I have found the articles in that Bible to be second to none, I strongly reccommend it for the study of apologetics. I also once owned a MacArthur Study Bible, but I gave it away to a friend who had just accepted Christ. John MacArthur does most things well, and this is no different. Unlike the other two Bibles mentioned above, the Macarthur Study Bible is available in several different translations (NKJVand NASB).
To Dr. Mohler's List, I might also add the NIV Study Bible. I strongly prefer other translations over the NIV, but the NIV is not a bad translation. The primary difference is that the NIV is translated using a method known as dynamic equivalence. Translation by dynamic equivalence seeks to translate thought for thought or concept for concept. The ESV, NASB, and HCSB (all of which are referenced above) translate scripture using a discipline known as formal equivalence. The formal equivalence method seeks, as much as possible, to translate the original text into the English (or other language) using a word for word translation. Leland Ryken has written a great article, Choosing A Bible, that addresses these two forms of translation in 32 short pages.
I hope this is a quick intro for you into the valuable world of Study Bibles. The three above represent a great place to start, but there are many other Study Bibles from which you could choose.