It's worth noting that in addition to purchasing a certificate (as mentioned above), you can also create your own for free; this is referred to as a "self-signed certificate". The difference between a self-signed certificate and one that's purchased is simple: the purchased one has been signed by a Certificate Authority that your browser already knows about. In other words, your browser can easily validate the authenticity of a purchased certificate.
Unfortunately this has led to a common misconception that self-signed certificates are inherently less secure than those sold by commercial CA's like GoDaddy and Verisign, and that you have to live with browser warnings/exceptions if you use them; this is incorrect.
If you securely distribute a self-signed certificate (or CA cert, as bobince suggested) and install it in the browsers that will use your site, it's just as secure as one that's purchased and is not vulnerable to man-in-the-middle attacks and cert forgery. Obviously this means that it's only feasible if only a few people need secure access to your site (e.g., internal apps, personal blogs, etc.).
In the interest of increasing awareness and encouraging fellow small-time bloggers like myself to protect themselves, I've written up a entry-level tutorial that explains in more detail the concepts behind certificates and how to safely create and use a self-signed cert (complete with code samples and screenshots). Here's a link in case it's helpful to anyone else in the future: http://www.clintharris.net/2009/self-signed-certificates/.