I'm way behind the times on this one, but until recently, I have never really developed locally. Everything I did was "going commando" and working directly on servers. The situation arose where I really needed to, so now I have MAMP (Mac, Apache, MySQL, and PHP) installed locally. It is an excellent program and works great. I go over what it's like in the first few minutes of using it, and get a fresh copy of WordPress installed locally.
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