I have been a happy user of the typesetting system LaTeX for almost 20 years. For creating the actual output (be it a DVI, PostScript or PDF file) I have usually used some home-grown script in the past. But recently, when digging through the repository of available software for my Fedora 12 system, I came across something much better: latexmk.
Apart from the expected things, like automatically recognizing when e.g. BibTeX or makeindex need to be run, it also supports a continous mode. It then monitors all the files that make up your document. And whenever one of them changes, it automatically re-creates the document. When your previewer supports auto-refresh, you can instantly see the effect of your update without any manual interaction needed.