<p>So a column will hold some text that beforehand I won't know how long the length of this string can be. Realistically 95% of the time, it will probably be between 100-500 chars, but there can be that one case where it will 10000 chars long. I have no control over the size of this string and never does the user. Besides varchar(max), what other strategy have you guys found useful? Also what are some cons of varchar(max)?</p>

Varchar(max) in sqlserver 2005 is what I use.
SqlServer handles large string fields weirdly, in that if you specify "text" or a large varchar, but not max, it stores part of the bits in the record and the rest outside.
To my knowledge with varchar(max) it goes ahead and stores the entire contents out of the record, which makes it less efficient than a small text input. But its more efficient than a "text" field since it does not have to look up that information 2 times by getting part inline and the rest from a pointer.