Mist

Mist is a powerful Ethereum special-purpose browser. It offers like a overall view of the Ethereum blockchain and all needed tools to interact with the blockchain component like Ether, DAO, smart contracts.

It is the indispensable tool for running or managing blockchain-specific ÐApps for the average user who doesn’t need to understand technical aspects neither run Command Line Interface (a.k.a. CLI).

Detailed and up-to-date information on installing Mist can be found in the git Mist repository. As of 2016-05-29, released version is 0.7.4

There are confusions between Mist browser and Ethereum Wallet. Usually "Mist" relates to "Mist - the Ethereum wallet", which has a functionality similar to other applications like My Ether Wallet, but is a more complete tool. "Mist Browser" is a further development, incorporating the wallet plus a complete browser, which is capable to run DApps directly.

Getting start with Mist

Windows installation

TL;DR version

Go to Download page: https://github.com/ethereum/mist/releases
Download the latest package of the MIST wallet for the operating system of your choice
Unzip the contents of the archive
Start the executable (Ethereum-Wallet)
Synchronize with the Main Network (Homestead)

Linux installation

Initial run of MIST

After starting the executable, a splash screen will appear:

You can click on "Skip peer search" to start the application directly, otherwise you will have to wait until geth downloads the entire blockchain database.
Depending on your computer hardware and bandwidth this can take some hours, so be patient!

Morden

Current development is being done on the Morden blockchain, which is the official test-network of the Ethereum Foundation.
Select the option via the menu at Develop > Network > Testnet(Morden). After some time, a progress bar appears and you can watch the synchronization progress as it downloads all missing blocks (about 825,000 at the time of this writing).
So be patient!

The DAO