There are many TeX systems available.  A TeX system includes the editor, compiler, previewer, converters. Possible combinations are...

System

  • You can choose either MikTeX or TeX Live.  Free and well-maintained.

Frontend

  • WinEdt is a worth-the-pay fronend: easy to use, feature rich and flexible.
  • LyX is a very good choice for beginners, as well as experts.
  • Texmaker is a free LaTeX editor released under the GPL license. It integrates many tools needed to develop documents with LaTeX, in just one application.
  • WinShell is a free multilingual integrated development environment (IDE) for LaTeX and TeX.
  • eclipse + TeXlipse: The combination is a very nice frontend.  Features include folding, macros for many tasks.
  • TeXnicCenter is a feature rich integrated development environment (IDE) for developing LaTeX-documents on Microsoft Windows (Windows 9x/ME, NT/2000/XP) freely available under GPL.

Chinese  preprocessor

  • cwTeX: I prefer this one over CJK when using WinEdt. 
  • LyX supports Chinese using CJK. See this article.

Postcript compiler

  • Ghostscript can convert dvi files to postscript or pdf format.

Image converter

  • Imagemagick is a free software suite to create, edit, and compose bitmap images. It can read, convert and write images in a variety of formats (about 100) including GIF, JPEG, JPEG-2000, PNG, PDF, PhotoCD, TIFF, and DPX. Use ImageMagick to translate, flip, mirror, rotate, scale, shear and transform images, adjust image colors, apply various special effects, or draw text, lines, polygons, ellipses.