I started my website the minute I started my freelance work. In fact, I had my website put together and business cards in hand before I started contacting people. In my experience, having a professional site *really* made a huge difference and impressed clients. I keep it updated with new clips, etc. I had a blog, but unfortunately I had to take it down, but I definitely think a blog is a good thing for a writer to have also. I'll probably start a new one up someday.
A professional MySpace page and perhaps even a Facebook page, in addition to the website, are good secondary pages. I don't have either, but that is due to personal issues in my life at the moment.
I registered my domain with GoDaddy.com, and I have my name in .net, .com, and .org form, with two automatically redirecting to the third.
In my opinion, a professional website is a definite must in today's business world.