Which application?

That depends Zipster.
What kind of music are you wanting to make? MIDI? MP3?
Also,what style(s) of music?
What price range?

zero
static music

I was thinking MP3s now, since i found this really cool sound library that can stream MP3s. I was thinking techno.

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A man with no head is still a man.
A head with no man is plain freaky.

There is no one answer to your question. If you ask 10 musicians what would be the best program to use, you would get 10 different answers.
Having said that, I can tell you what I use:

Logic Audio - for sequencing, sort of the same kind of thing Cakewalk and Cubase do. Not a cheap program, or easy to learn, but in my opinion very much worth it.

Sonic Foundry Sound Forge 4.5 - Audio Editor. The one program I could never imagine living without. Not Cheap.

Fruity Loops - Sampling Drum Machine. A little program that I used to think of as a joke but find myself using more and more. Very cheap for the results you can get with it.

The list could go on and on ( plug-ins,soft-synths,MIDI utilities ) but those 3 are what I find myself using the most. Like I said before, it''s all a matter of opinion and what works for you.

One last thing,and I cannot stress this enough, make sure you get a decent soundcard. Makes all the difference in the world.

Just my 2 cents

zero
static music