I think in general, the knee braces can sometimes help with the symptoms, but they don't get to the cause.
I recommend getting a rehab-type DVD, like Gaiam's "Strong Knees" or Debbie Siebers' "Total Body SOlution" (I think that's the name: it has prehab/rehab-type exercises for several body parts).
Knee pain often comes from tracking issues, which are brought on by imbalances in the muscles around the knee. You need to both strengthen and stretch.
As others have mentioned, orthotics or other inserts can also help. (There are some running shoe stores that have you walk on a treadmill so they can see what your stride is like, then they can recommend shoes and/or inserts to help with your problem).
I also find that it's not necessarily impact that is the problem (though women often land incorrectly from jumps and stay too straight-legged: it's a problem that women basketball players can have, and I've seen it in some Tracie Staehle workouts as well, where she sometimes lands without enough bend in the knee so that the muscles, rather than joints, take the brunt of the impact).
Be careful of torquey moves or potentially torquey moves (in several of her step workouts, Cathe goes from a move off the side of the step to a move behind the step, and I find it's easy to put the knee in a position that would lead to torquing. The workouts need cuing that anticipates where we are going and tells us to step back or side more to get in safe position).
Icing after working out can help prevent swelling, and anti-inflammatory foods (like omega 3s from flax) can help as well.
When my knees (or other joints) feel a bit twingy, I sometimes rub in some Celadrin (a lotion that contains MSM and arnica).
http://www.amazon.com/Fast-Acting-C...ef=sr_1_7?ie=UTF8&s=hpc&qid=1261263140&sr=1-7
DMSO (a precursor of MSM) has been used to treat lameness in horses (but be careful not to use it over anything else you wouldn't want in your system, as it is a very potent solvent, and will transport whatever it is in contact with deep into the tissues.)