Lots of broadband routers (D-Link, Linksys, etc.) will allow some sort of parental control over internet access. There are also proxy software solutions that claim to do this too. There are always around these though, and kids are good at finding them if they really want to.
When our daughter was old enough to start using e-mail and the Internet, we decided the best solution wasn't to limit her access. What we did was set up our main computer out in our living room, where anything she sees can also be seen by us. Especially when she was younger, her "Web browsing" was largely done with me right there anyway since she had a lot of questions about how various things worked (Java games and such).
Now that she's a teenager she has a second-hand laptop. We have a rule that if she's in her room and on the net, her door has to be open. She hasn't expressed any dissatisfaction with this so far (give it a couple years though).
I also think that, if you institute this sort of policy, it's important to discuss the reasons with your kid. "Because I say so!" doesn't count.
I wouldn't be surprised if some people here will want to argue with this - a big part of the Mac Rumors forum membership list seems to be 16 or younger! - but it's worked well so far.