XPlanner is my favorite XP/Scrum planning and management tool. It isn't heavy on reporting, but it gives me what I need. I've also used Rally, which is more suited to large organizations and is a bit heavy for the daily team tasks. If you need detailed reports for upper management, it does a good job.
As for how to manage investigation, I have my teams set definable goals. Tasks have definable success/failure/completion states and aren't vague. So we end up with tons of short tasks like "Test REST interface for performance capabilities" and "Examine proxy/firewall restrictions for client" rather than "Explore REST". New tasks go up all the time and forces us to have very short sprints. In the range of 3-5 days. You just can't plan exploration out much further than that in the beginning because you don't know what you don't know.