If your site can run ASP you can use Snitz Forums (It is what this uses, but you can set it up however you like) http://forum.snitz.com/.
If your site has PHP… you can use phpBB from http://www.phpbb.com/ or Invision Power Board from http://www.invisionboard.com/
For CGI forums.. a decent one is Ikonboard from http://www.ikonboard.com/.
This covers some of the major ones…there are many more out there.