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!
An audio player that supports advanced features such as ReplayGain and is extreamly customizable and requires little system resources. It has extremely good support for large playlists and comes with a masstagger and customisable keyboard shortcuts. Comes with native support for most audio formats.
http://foobar2000.org/download.html
You should all know this one. The best damn lil' audio (and video) player available for windows - even able to rip and burn if you want to pay for it.
http://www.winamp.com/player/
NOTE: For other mp3 players and such, you might want to check out this thread: http://4-ch.net/music/kareha.pl/1101220159
Manage ipod without the need for itunes
http://www.ephpod.com/
Works with winamp (and other major media players) to find the lyrics for whatever you're listening to.
It's very fast, easy on resources and pretty handy for those of you who are forever gtfg for lyrics
http://www.evillabs.sk/evillyrics/index.php
A nice WIP sound editor. It's no SoundForge, but it's free, lightweight, and shines brightly when your system's normal option is Windows Sound Recorder or a CoolEdit 96 'demo.'
http://sourceforge.net/projects/audacity/
Free CD-Ripping software. Audio professionals alike agree it's the best out there, use along with the LAME encoder (http://www.aslplz.com/~starscream/Lame392.zip) for best results. It's been in pre-beta forever, never crashed once.
http://www.exactaudiocopy.de/eac6.html
A tool to do all sorts of things audio related. Mainly focused on ripping and converting, things like turning your home Compact Disc collection into an mp3 collection on your hard drive become
extremely easy. With built-in support for many encoders you wont find any shortage of options for your media files.
http://cdexos.sourceforge.net/