I would suggest TortoiseHg. If your familiar with TortoiseSVN you can use it straight away.
You want to use it on Windows?
As of today, TortoiseHg is better than TortoiseSVN in my opinion. And it still improves very fast (I used it since version 0.4, current is 0.9.2 with Mercurial 1.4.2).
A nice feature for example: Just do a lot of refactoring in your IDE and don't care about renaming. Afterwards choose the "Guess renames" feature in the context menu and have fun. No more broken histories, because you have used your favourite renaming tool instead of 'svn move'.
Installation is really easy: Download and install TortoiseHg and just one reboot. Now you do have the current version of command line Mercurial and the SVN convert tool, too. It's nothing more than this single package.
You want to use it on Linux?
"sudo apt-get install mercurial" is all you need (on a Debian based system) to use command line Mercurial, but this version might not be the most recent one. I know, there are PPA-repositories for Ubuntu and maybe for Debian, also. So update your APT sources list, import the keys and you can install TortoiseHg with a very nice integration to Gnome.
Sorry, but I don't know about installation on Mac.
DVCS tends to be useful anyway. It tends to be more fun, no matter if you do the lone hacker scenario or work in a huge team. Plus: With clone+push+pull you also have an integrated, fast and intelligent backup.
But, there are also some disadvantages to consider:
1) If you share your work between Windows and any *nix system, you should only use ASCII characters for file names. Neither Mercurial, nor Bazaar or Git does encoding conversion like Subversion (see http://mercurial.selenic.com/wiki/CharacterEncodingOnWindows). Any French accents or German umlauts will spoil your work when switching between any OS using UTF-8 and the other one.
2) You should not use a lot of large binary files. Mercurial is not designed for this purpose and I don't think, Bazaar or Git would be more fun on this.