We use EarMaster in our theory program at MCTC. I love it. It is incredibly thorough and flexible. At $60, it is not inexpensive, but if you are serious about improving your skills, you will find this to be very useful.
Good Ear is a free ear-training program on the web.
I like this app a great deal. It is customizable, easy and fun. For iOS – last price I saw was .99 – waaaaaay cheaper than a latte.
Great freeware for improving your ears. Available for Windows, Mac and Linux.
Big Ears is another online ear training website.
The Musical Intervals Tutor
The Musical Intervals Tutor is a study aid on the web to help you learn the sound of basic music intervals.
Ear Training – I Was Doing Alright
A few ear training tools developed by jazz trumpeter Rick G., including iPhone/iPod and Android apps. These tools are free, and can be used in a variety of ways. Very flexible and well thought out. He crafted them in particular to help with jazz improvisation.
For practice in ear training, particularly intervals.