Another big thumbs up for Silver Efex Pro. Extremely versatile program and yields wonderful conversions with lots of controls.
However, you can make decent conversions with almost any of the image processing software (i.e., LR and PS-X) it just takes a bit more effort. For example, if you're using Photoshop, you can apply a Gradient Map layer over your file and then adjust the gradient to achieve some decent looks. Add a couple of other adjustment layers to tweak, and bingo! Very nice B&W sans grain effects.
What software do you use?
Also, another vote for always shooting RAW unless your camera doesn't allow it. If you're new to RAW, have some patience with yourself and get through the initial learning curve. When you come through it, you'll learn to hate jpegs. Which is of course, just my opinion.