Another vote for Solidworks. But unless you plan on using it for a business it'll be costly, get a student license if you can. There is also a great online parts library where you can download loads of parts like bolts, bearings etc. Alot of manufactures actually make their products available as dumb solids so you can use them in your models. Quite easy to export 3d info to get stuff cnc'd or 2d plans to take to show someone what your after.
Inventor is brillliant, but after 5 years of using it you'll still feel like you're scratching the surface with what it's capable of. It's the sort of software that gets used for designing very large complex models, like an entire piece of minimng equip for example.
Pro-E, never used it myself but most people I know that use it aren't fans.
SolidEdge - another one I've never used, but seems to get a fair bit of use.
Rhino. My current favourite. Useful for very organic shapes as well as models without too many complex parts or surfaces.Coupled with scripting plug-ins things get pretty fun. It's relativley easy to get started on and not as expensive as Solidworks for example. I use this with Maxwell Render for most of my modelling/Render work.
There are some half decent free modelling programs about, but many of them escape me at the moment. Plenty of crap one though. Never tried that Google sketch-up.
Download a free trial and do some tutorials and see which one feels the most natural.
Edit Forgot to mention 3D Max. It won't output 2D plans, but is reasonably easy to model with and get good renders with.