Some of my favorite Windows Add on Programs:

Launchy - A nice unobtrusive launch bar that disappears when not in use and let's you quickly and easily launch programs and web pages. If you have windows indexing on, this one's not as needed for Windows Vista and 7 when you can use the start menu blank. There are a ton of add ons for it for the more technically inclined to allow you to post to twitter from it, run code scripting, etc.

K-Lite Codec - Great package for watching numerous file types in Windows media player or use...

VLC Media Player - Great little video program and tends to have most codecs available.

Agent Ransack - I like this one as I'm not a big fan of some of the funky things they've been doing with Windows Search and like to turn indexing off to get max performance out of my machines with a minimal services load.

Console2 - Great Windows CMD command line replacement. Is tabbed so you can run multiple sessions in one window and you can rename the tabs so as to know what each one is for.

Autoruns - From Microsoft Kind of like MSCONFIG on steroids. Lets you really see what processes and program threads are running in the background to a great degree.