Up until now, I've been building my WordPress sites by transferring files through FTP. This can sometimes get really slow (time it takes to upload the file, Firebug slows to a crawl, etc.) and I was wondering how all the pros do it. I heard about installing something locally on your computer and building everything there? I'm new to this whole concept of building a site locally and would appreciate some guidance—mostly to speed up my development time. Thanks in advance.
See Software for WordPress Theme and Plugin Development? for specific software titles.