NoteZilla makes a strong case for itself as the virtual sticky notes program most worthy of your attention.
Although this utility doesn't really have a dedicated control panel, right-clicking the system-tray icon gets you numerous options to customize your note appearance and behavior with better-than-average skins and details. Hot-key support will be a boon to those who frequently use the program, while forgetful people will appreciate the ability to set an alarm for any note. If you don't want your reminders invading your personal space, you can decide on which applications or documents they will appear. Notes can helpfully roll up to the title line to conserve desktop space, and can synchronize with Outlook and Palm devices.
This application may not be the cheapest kid on the block, but it handles nicely and can help organize active minds.