I purchased "The Pocket Programmer" from ebay a few years back, and I've been really happy with it. It requires DOS to work, but it connects to the PC via a parallel port (don't have to crack your case to insert/remove ROMs) which is a big win.
I burned a few dozen eproms with it for various projects over the years (Gauntlet/Gauntlet2 multigame, Pengo high-score-save hack, etc) and it's been great.
-druid