I'm admittedly biased, and probably going to get downvoted for self-promotion, but check out our product, AgileZen. We launched last year and were acquired by Rally Software at the end of March. Too much project management software isn't geared towards small teams, and we've tried hard to fix that. <a href="http://agilezen.com/" rel="nofollow">http://agilezen.com/</a>
Collocated: A wall, some blue tape, sticky notes, index cards, and flip chart paper.<p>Distributed: Pivotal Tracker, IM, and "it depends" depending on what you mean by collaborative. Could be Google docs.
Thymer? <a href="http://thymer.com" rel="nofollow">http://thymer.com</a> I've heard a lot of good things about them. Tried them last week as a single user and liked the interface very much.