Don’t get hung up on which software you use, it is much more important that you understand industry formatting. I wrote my first screenplay in long hand, it was a really crappy screenplay, but I learned the ins and outs of proper formatting. Only once you have a strong understanding of formatting, should you use a piece of software that formats for you. I think of it like spelling; many people rely exclusively on spell-check to catch misspellings, put them in a situation where they don’t have a spell-check available, and they start turning in unprofessional, poorly spelled copy. The same holds true for formatting, if you don’t understand how the formatting works, how will you be able to spot bad program performance? I’m not saying you don’t understand it, this is a general statement of belief. Once you are at a point that you feel confident with your formatting know-how, then I would recommend using cheap/free solutions. The mentioned Celtx is probably the most full featured solution you can get for free, but it does WAY more than just write screenplay; for that reason, I feel it is a bit too distracting for a first draft. I normally write my first drafts in one of the two following:
Open Office Template (itself, also free)
I use the above on first draft, then move the script to celtx afterwards (if necessary). I also use Tree DB Lite as a story development database.
These are just my opinions, hope they help, and on a last note, I would recommend NOT using any of these online screenplay writing services, they are free, but once you place anything online, you lose control over it. Site could be hacked, and your worked deleted/vandalized/stolen… Paranoid? maybe, but why risk it? If I want access to the file to work on it wherever I am, I upload it to dropbox, often encrypted if it is something for money and not just fun. Hope this helped, good luck with whatever you choose.