Lee Lichtenstein
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Free Software Blender -- 3D Modeling.  Akin to 3DStudio MAX.
Cygwin -- UNIX utilities on Windows.  Look for \cygwin\usr\X11R6\bin\startxwin.bat (or \cygwin\bin\startxwin.bat) to quickly launch XWindows in Windows.
Eclipse -- Java IDE and so much more.  I highly recommend Eclipse.  New features are added regularly and there are many free third-party tools to further increase its functionality (even support for other languages).  
Python -- Scripting language.  I find it easier to read than Perl and has more support than Ruby (though this may not hold due to Ruby on Rails).  For a free Python IDE, go to ActivePython.
ImageMagick -- Library of image routines.  Useful for batch processing simple image manipulations.
RealVNC or TightVNC -- VNC Client/Server for using your machine much like Remote Desktop (or PCAnywhere).  Can tunnel over SSH.
Vine server (OSXvnc) -- VNC on OS X.
Putty -- ssh and telnet client.  Putty's tunneling over X11 is useful in conjunction with Cygwin's XServer (my free version of XWin32).  The Putty website also has other security utilities that I have found useful (Pageant, PuttyGen, etc).
WinSCP -- sftp client for windows.  Very useful for file transfers between a windows machine and a server that only has a port (22) open for ssh (i.e. my linux boxes).
WinAVR -- C compiler for Atmel AVR RISC chips. You will need a development board (e.g. Atmel STK 500) to program the chips.
Visual Studio Express Editions -- Free IDEs for Microsoft C++, VB.NET, and C#.NET.
Nvu -- HTML Editor.  FrontPage or Dreamweaver, but free.
Dependency Walker -- For finding out what dynamically loaded libraries a .so or .dll use
Crosstools -- Scripts for building your own gcc/glibc cross-compiler (incl. cygwin support). For later versions of the gcc compiler for ARM (among other) targets, CodeSourcery has a free (Lite) version that runs on Linux and Windows.
BeyondCompare -- Compare text files and directory contents.
AnkhSVN -- SVN plugin for Visual Studio (not express versions, unfortunately)
Other Xdefaults -- The .Xdefaults file that I use with Cygwin.