From our experience, the best product we have found is Websense. It works with Different Firewalls along with Proxy Servers. It’s not 100% full proof, but it does a pretty good job…
The best feature is being able to select different types or categories of web sites, and when people can use them.
Just make sure you are well aware of what you are blocking with software like this, it’s not all just games…
Other reports on similar software are available at http://www.peacefire.org/ and http://censorware.net/
I’m not going to open the bag of worms about internet filtering vs censorship, but before you pay for software, you should know the kind of stuff it does that the manufacturers would rather you didn’t know about.