NOTE: When adding useful contributons to this thread, please just batch a few programs into one single post, so that future referals to a certain program mentioned in the thread are easier to follow.
Also please ONLY add freeware programs!
Allows you to tweak the timing of events and numerous other settings in regards to your windows desktop.
http://www.systemsmedic.com/TweakUI.htm
PowerToys are additional programs that developers work on after a product has been released to manufacturing. Also includes Tweak UI
http://www.microsoft.com/windowsxp/downloads/powertoys/xppowertoys.mspx
Sygate Personal Firewall delivers unobtrusive, highly configurable, enforceable rule-based security policy. Policies can be customized to support and secure any network configurations or requirements.
http://www.spychecker.com/program/sygatefw.html
A version of the blackbox linux shell, made for windows. tired of the standard explorer.exe gobbling up all your resources or just running as slow as molasses in January? Give this lil' fella a try, then. It's definitely a different shell/desktop experience, but it's lightning fast, low on ram-usage and is highly customizable.
http://www.bb4win.org/
geoShell is a replacement for the Windows explorer shell tested under Windows 95, 98, ME, NT4, Windows 2000 and XP. It replaces the standard 'Start Menu', 'Desktop', 'Task Bar' and 'system tray' of windows with a smaller, faster, and more configureable program, with an extensible bar-oriented minimal interface.
http://software.deviantart.com/details/350/
The best little ram cleaner in the land, for use when something decides to eat up all your resources.
http://www.analogx.com/contents/download/system/maxmem.htm
This is a nifty little app that gives you in-depth information about your hardware and software, as well as listing program versions, installed Windows updates, and software licenses. HTML output.
http://www.belarc.de/free_download.html