I use the Velleman PCSU USB scope. 50 MHz digital sampling rate means you can reliably look at signals up to about 20 MHz (analog) bandwidth, which covers everything you can do with a Picaxe. It also has an equivalent time sampling mode for even higher resolution, and can do real-time FFT so you can use it as a spectrum analyzer as well. It's quite a bit cheaper than the Picoscope models, for similar performance and features (record length is shorter though). I also have the arbitrary waveform generator from the same company.
By the way, in my job I have access to many of the highest-end scopes on the market (15 GHz real-time sampling, and 50 GHz equivalent time) but still prefer the Velleman for slower-speed work, not least because I can easily put it on my desk with a breadboard setup and don't have to roll up a heavy cart. Personally I think that the USB based scopes are probably the best solution for the serious hobbyist, since by now they have similar peformance (and more features) than low-end standalone scopes, for a fraction of the price (usually half or less) and take up much less space on your desk (a good argument whenever your "home lab" is restricted in space). Also it's much easier to e.g. capture a waveform in numeric format or use it as a datalogger. (many standalone scopes have RS-232 or GPIB only as an option, and/or require you to write custom code to capture waveforms on the PC).
About two years ago I tried many of the free sound-card based scopes, butfinally went away in disgust. It's hard to get a stable picture, they can't display any DC offset (since the card is AC coupled), bandwidth is dismal (20 kHz or lower), so their applicability is severely limited, and I'm always afraid I'll fry my whole PC if I'm not careful. Sound cards are just not meant to be used as a scope. In my opinion all that makes them harder - not easier - to use for a novice than a real scope. Also the Parallax scope is more a toy than an instrument given its low bandwidth (200 kHz is a joke, and it isn't exactly cheap at $99).
If you can live with 20 kHz sample rates there are many links on the internet that show how to build simple circuits for a few dollars that can be driven over the parallel port, and can include opto-coupling. But for anyone serious about his/her electronics hoppy I'd recommend saving up for a real (USB or standalone) scope, I guarantee you won't regret it. Having a reliable means to look at your signal makes development ant troubleshooting so much faster. Ever wanted to know if your Picaxe resonator is really oscillating? Ever wanted to know if your PWM signal is really running at 100 kHz? Ever wanted to look at 115 kbaud RS-232? A soundcard scope won't be able to do any of that... If a new USB scope is really out of reach financially, you can still scoop up a cheap old used analog scope on Ebay for a few dollars - won't look as slick and will take up more space (and be heavier to carry around), but still beats a sound card scope by a wide margin.
Of course that's only my personal opinion, though born out of several years of practical experience, so feel free to disagree.
Wolfgang
