If you're like most people you either (a) have a Post-It note with your passwords stuck to the side of your monitor (after all, they're supposed to be secret, right?), or (b) you simply use the same password for every site out there.  Both are bad.  But Option B is far worse than A.  If just a single site gets compromised and your password is stolen, then all the sites where you use that password are no longer safe.
Instead, use different passwords for different sites.  If you must, you can use a single strong "master password", but enhance it by adding the site name.  For instance, your master password could be Josh*2008, then just add the sitename so that your Yahoo mail password becomes Josh*2008Yahoo.
By the way, here's list of the most common passwords that people choose.  Be sure yours isn't on this list!

    The Ten Most Used Passwords online:
    1. password
    2. 123456
    3. qwerty
    4. abc123
    5. letmein
    6. monkey
    7. myspace1
    8. password1
    9. blink182
    10. (your first name)