I bought a Blackburn Magnetic Trainer for 40 bux off of craigslist. Has 7 resistance settings. Great for winter, but it gets old after a while. Go for a fluid or magnetic trainer...I have heard nothing but complaints about the fan ones.
+1 on the skewers. My plastic cap was pretty chewed up after one season on it.
Stay away from using MTB tires, the sound will drive you nuts!
Another tip: get a trainer "rock" Keeps the bike level with the ground by giving your front tire something to sit on and doesn't make you feel like you're biking down hill for however long you're on your trainer. Mine is a cyclops brand.
Crank some tunes!