I used Thayer's a lot during my Greek studies:
http://www.amazon.com/dp/1565632095/?tag=baptis04-20
If one wishes to use printed media, A Greek-English Lexicon of the New Testament and Other Early Christian Literature, 3rd Edition (Bauer, Danker):
http://www.amazon.com/dp/0226039331/?tag=baptis04-20
For Hebrew, it is hard to beat the Brown-Driver-Brigg Hebrew Lexicon:
http://www.amazon.com/dp/1565632060/?tag=baptis04-20
It is also necessary to have a great Hebrew and Greek text to go with those printed study materials. I prefer the Nestle-Alland with critical apparatus and dictionary and the Biblia Hebraica Stuttgartensia (better font and better mechanism):
http://www.amazon.com/dp/343805115X/?tag=baptis04-20
http://www.amazon.com/dp/1598561634/?tag=baptis04-20
Strongs is useful for primary searching, but that is about all.
I now almost exclusively use electronic lexical aids. They are WAY fast and more complete and up to date than any printed version.
I have somewhere in the neighborhood of 1800 volumes on my hard drive and use just about every major software package out there (and some difficult to find versions as well). The preponderance of great electronic media available to the biblical scholar today is outstanding, and the man who refuses to use the new resources is, in a way, suggesting that God doesn't know about and has not, in His sovereignty, allowed us more access to the text than ever before in history.