I haven't found any that didn't create at least as many problems as it solved.
My advice to parents has always been to put the computers in the family room or some other "public" room, and to watch their kids. Also, if the kids have laptops, encrypt the router's wireless signal and don't tell the kids what the key is, so they have to use the wired connection from the router (which would be in the family room).
I've even enclosed a few modems and routers in tamper-resistant boxes when parents caught their tech-savvy kids swapping out their secured routers for the neighbors' unsecured ones, so they could get around their parents' restrictions. That was mainly back in the KaZaa days, when several of my wealthier clients got sued because of their kids' illegal music sharing. We blocked off KaZaa (and other illegal file sharing services) in the routers, but the kids would just swap the routers.
I doubt anyone will ever get parental control software right. There are just too many terms that can mean different things depending on context. Homework searches for information on breast cancer, the rise of Naziism in the 1930's, the assassination of MLK (or anyone else), and many, many other topics become practically impossible with the software out there -- and that's not even counting the words with dual-meanings. (As George Carlin said: You can prick your finger, but you can't... well, let's just say, you can't do the opposite.)
For a while, ICRA seemed to be a promising solution. They encouraged Web developers to label sites (in the code, not visibly) so that filtering software could easily assess a site's content and make access decisions on-the-fly, based on parents' preferences. But ICRA is defunct for all intents and purposes (their site is full of 404s); and ICRA labels weren't widely-enough used to make them really useful even when ICRA was a viable organization.
Ironically, porn sites were more likely than most other sites to be appropriately labeled with ICRA. They didn't want kids looking at their sites, if for no reason other than that kids don't have credit cards and are unlikely to ask mom or dad to buy some porn for them. Having kids viewing their sites was a waste of bandwidth for porn merchants.
But that was before the Russian Mob (and others) figured out that because adolescent boys tend to be interested in both gaming and porn, that porn sites and "free" game sites were prime real estate for drive-by malware downloads.
Even if the PC is used only by the youngster and there's no personal financial information on it, malware purveyors could always make use of it part of a botnet. And as long as the malware keeps popping some porn up on the screen every so often, the kids aren't likely to tell their parents that there's something wrong wth the PC (either because they like the porn, they're afraid of getting in trouble with their parents, or both).
In the end, the truth is that parental supervision is the only thing that works. That's never been popular advice. I've been yelled at, cussed at, called every manner of idiot, and have lost accounts because of that answer. But that doesn't make it any less true.
-Rich