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Well, I'm a big fan of doing diagramming work on paper or on a whiteboard, at least in the initial stages of a project. It is also worth briefly covering some options for using electronic tools for your UML diagrams. Now there are a lot of options here. Commercial and open source across every platform, and I'll cover a list in a minute. But your main choice is do you want a tool to help you build the diagrams or do you want the tool that will actually help you build the code. If you're just looking for a diagramming or drawing tool you could use something like Microsoft Visio or OmniGraffle on the Mac, and both of these will understand UML diagrams.
There are web-based diagramming tools that can also help you build UML diagrams like gliffy.com and creately.com, but if you're looking for a bit more than just a drawing tool you can also have tools that are more Programming tools that will even help you generate code from your UML diagram Class Diagrams. And you'll find that these are much more prevalent in the Java, C#, and VB.NET worlds. And it's worth pointing out that some programming IDEs like Visual Studio have UML tools built-in to some additions and with other IDEs like the Eclipse, there are plug-ins available.
And then there are separate commercial tools like Altova's Umodel and Visual Paradigm, but you will also find that there are a few open source versions, like AgroUML and Dia. Not all of them allow you to create every kind of UML diagram. You'll certainly find Class Diagrams in all of them and usually Use Cases and Sequence Diagrams, but some of the more specialized ones are only found in very few of the commercial products. I actually make no particular recommendation. The single best source for finding out the UML tools is actually the Wikipedia page, List of Unified modeling Language tools, and this will allow you to compare the different ones whether they're open source or not.
You'll see the platforms that they run on and the different languages that they can generate code for.
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