1 ExpanDrive (It allows you to mount a remote linux drive/directory as a windows drive, and will tunnel through SSH to do it! Using this program, I can work on the remote server as if the files were on my local machine. However, it does require a broadband connection, and an SSH account on the server.)
2 Navicat for MySQL (Again, it tunnels through SSH and allows you to access/backup the MySQL database directly without having to install phpMyAdmin, or open up any ports through the firewall other see more than the standard SSH port)
3 SciTE (Scintilla Text Editor is a great text editor with syntax highlighting, and can even be configured to use API tootips for PHP and pop up the PHP Documentation if you hit F1)
4 VMWare Workstation/Player (This is VERY useful for testing various older/newer browsers on various versions of Windows/Linux/Mac software and installing more than one Browser)
5 Firefox with Firebug, Developer Toolbar and ColorZilla plugins installed
6 IETester (This program allows you to test multiple versions of IE from 5.5 to the most current.)
7 Google Chrome, and Safari for complete testing.
8 PuTTY to use as a SSH/Telnet client to log into the server
9 PortableApps.com suite (This suite is nice because it can install portable versions of PuTTY, FireFox, etc, on a USB drive to take on the road. Also, using portable versions of Firefox, you can test using an older version without having to uninstall the current one.)
10 Paintshop Pro. (Wonderful paint software for editing GIF/JPG/PNG files and tweaking photos and images)

The nice thing is that most of these programs have trial/free versions that you can use to try them out to see if you like them. A good majority of them are open-source and so are available at no charge.