I'll join in with the stuff I use on Windows (some have been mentioned by other people):
- Multi-talented graphics viewer/partial editor.
- Brilliant bayesian spam filter.
- Clipboard enhancer, very unobtrusive.
Startup Control Panel
- Adds a new Control Panel to edit Startup programs.
- my P2P of choice.
- Multi-purpose MIDI tool.
- Web browser (now on my PC, Zaurus and phone!).
- My text file reformatter (I wrote it to reformat eBook files).
- Adds window tabs and other nice features to Visual C++ 6.
- Very useful add-ins for Visual C++ 6.
Sygate Personal Firewall
- Finally landed on this one after trying many others.
- Converts websites into compressed Plucker format for handheld viewing.
Media Player Classic
- Superb, lean video player based on WindowsMedia Player 6.4.
- Skinnable clock with Internet time sync.
- Modular instant messenger supporting IRC, ICQ, Jabber, MSN, AIM.
- Deletes old registry entries, duplicate/temp files, and other useful things.
- Definitely the best text editor I've come across (besides BED on the Amiga).
An interesting site with (not necessarily free) a good software list:
The Great Software List