This is something I’d always wished Emacs did; finally got around to finding a minor mode for it.

While the built-in line-number and column-number modes are fine, linum-mode makes it much easier to see where you are in the code at a glance.

To apply it to all buffers by default, throw the following in your .emacs:

(require 'linum)
(global-linum-mode)

Update: Now baked-in to version 23+ of Emacs!