There are several great FTP Programs for uploading plugins and themes to your wordpress site.  I have a few favorites below.  Some are free and some are a low price.  Always evaluate software on your own and don't be afraid to test drive.

Cyber duck in favorite FTP client for the Apple Platform.  It is easy to use and I have used it for about a two years.

Cyber Duck 

Transmit is another favorite for the Apple platform.Transmit FTP Client

If you enjoy working on your site and want to get creative you might be ready for the tools the pros use.  Transmit is worth every penny.

Windows Users:

There are a few Simple choices for the Windows users out there.

I found this review on about.com on FTP clients.  Seems very helpful.

FTp Reviews

I haven't reviewed this product mainly because I use a Mac.  Worth checking out I feel.

Smart FTP