LexSpell is a good one. It's free, but you'll get a nag screen every once in a while. You can pay for it to remove the nag screen, but other than that, it's unlimited.

I'm using Empower's InstaSpell right now and really like it. InstaSpell underlines and highlights misspelled words in red in e-mails and underlines (no highlighting) in other text entry locations.

Neither of these uses the internet to check your spelling.