If you want to try out LaTeX without installing anything, try using an online LaTeX editor like:

Considering that LaTeX is a language and not a program, it requires a lot of tools. These can be installed in a single step installation thanks to TeX Distributions. Other requirements are a text editor and a DVI or PDF viewer.

The recommended distributions for the major operating systems are:

The easiest way to get TeX Live on these is to use the package manager or portage tree that comes with your operating system. Most of the time it comes in several packages, some essential and other optional.
If the TeX Live packages are not available, you should download TeX Live and run the installer by hand.

On Microsoft Windows there is an easy installer, which contains advanced features like automatic installation of packages. TeX Live can also be used for Windows.

MacTeX is a TeX Live-based distribution which supports TeX, LaTeX, AMSTeX, ConTeXt, XeTeX and many other core packages. You should download MaxTeX.pkg on the MacTeX page, unzip it and follow the instructions.