News readers are available in many forms, and which one is right for you depends largely on what you intend to use it for. If you only intend to read text discussions, even Outlook Express may do quite well. If you on the other hand intend to read binary groups, where large files are split into multiple messages which the reader has to decode and assemble, then you need a more advanced news reader.
Examples of this kind are, for Windows:

NewsBin Pro,
Newsleecher,
Agent, with its free version FreeAgent*,
XNews*,
BNR2*,
or NewsReactor.
You find more readers for Windows here.

There are also quite a few readers for Macintosh, for example:

MT-NewsWatcher,
Hogwasher
or Newswatcher.
You find more readers for Mac here.