Here are a few free apps - mostly design oriented - that I have come to rely on over the years which really increase general productivity.
launchy
http://www.launchy.net
Absolutely essential shortcut/launcher app that sits in the background, and is called up on Alt+Spacebar. When you hit this shortcut, a list of applications/recent docs/control panel items will appear from the first character you type, eg, typing mi will show Microsoft Excel, Word, Powerpoint and recent files made with this software
shellxt
http://free.firmtools.com/shellextension
Again, essential for all designers on XP, this extension adds a preview of any bitmap graphic file (JPEG, TIFF, PSD, PNG, GIF, BMP, etc) in your context menu, from your desktop, file browsers and even open and save dialogue boxes. This is great for checking images before you write over them
ps hot launch
http://www.pssoftlab.com/pshl_info.phtml
This is a file/folder launcher, it crosses over slightly with launchy. I use it to launch my file server, my documents, my desktop and a couple of browsers. Once you get used to it, firing up your browser from Ctrl+Num0 for example will become completely subconsious
font browser
http://www.stcassociates.com/lab/fontbrowser.html
A 22Kb .swf file that you can keep on your desktop that previews all your installed fonts at a glance
send to ftp
http://www.snapfiles.com/get/sendtoftp.html
Another context menu extension which once you set up an ftp address, you can right click any file and upload it your server in an instant. Great for hosting screenshots for example
PSPad
http://www.snapfiles.com/screenshots/spad.htm
A very powerful HTML editor - see the link above for screens
pixie
http://www.nattyware.com/pixie.html
A great lightweight (9Kb!) colour picker, which lets you copy to your clipboard a hex-colour from anywhere under your cursor
jruler
http://www.spadixbd.com/freetools/jruler.htm
Another lightweight tool for measuring screen distances
quicksilver (mac only)
http://quicksilver.blacktree.com
If you have a mac, install this. It will change the way you work for ever, and it's only a matter of time Apple introduce something like this into their OS. It acts and works like Launchy (see above) only infinitely more powerful and customisable
doodim (mac only)
http://www.lachoseinteractive.net/en/products/doodim/download/
A cool app which darkens your screen to various degrees, only revealing the front most window - ideal for watching movies or when you want to concentrate on the document in hand and hide the background clutter.
Note: I have only tested these on XP and OS X 10.4 where applicable so your mileage may vary depending on your setup.