I just found out that the newest version of MS Office has a bibliography tool included. I only had a brief look at it though, and it seems to be very basic.
I know of a number of free/cheap programs in German, of which I don't know if English versions exist:
Literat (free)
Lit-Link (free)
intranda (22€)
Liman (9.90€)
Liman Pro (98€)
Visual Composer (40€)
Bibliographix (75€)
Citavi (90€)
A independent test marked Citavi as the best of these, though each of these programs has their specific strengths. For example Lit-Link was designed specifically for historians.