Some of the time (well, most of the time) you don't want to play directly with the CVS tools, command line or graphical. A much better way is to integrate it directly with your development environment. Please add your comments here with respect to different development tools.
CodeGuide
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Seems to have CVS integration in 3.0 version, but I don't know how good it is. Supports also Perforce.
Emacs#
Use the PCL-CVS package to get very good CVS support, including visual conflict manager, annotated change lists, etc.
JBuilder#
No idea. Please comment.
Since release 9 (I think it was that number) CVS support is even in the personal edition included. I use the enterprise edition. Integration is very well. CVSNT can't be used with JBuilder under windows. -- Guido
NetBeans
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NetBeans seems to have a CVS client integrated as well. Runs on Linux, MacOS X, OS/2, HP-UX, OpenVMS, and Windows.
Eclipse
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Eclipse has CVS running through its veins. Tightest integration with CVS you will find on the planet! Flavors are available for all major platforms.
IntelliJ IDEA
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IDEA has pretty nice CVS support. Handles the standard operations through the gui. The absolute coolest thing about IDEA's CVS support is the diff-editor. It's the most intuitive and best looking I've seen.
JDeveloper 10.1.3
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JDev 10.1.3 has CVS support now.