Just brought my home Windows desktop up to a state of usefulness comparable with my work Mac. Here’s what I installed today:
Gow (GNU on Windows): Common Unix utilities packaged for Windows. Equivalent to GnuWin32 but with a much better installer.
Console2: Better console. Supports tabs, drag to copy and right-click to paste, custom text colors, and bookmarks for starting up command-line apps (Python, GHCi) or shells with different environments (useful for Visual Studio’s command line stuff).
Sysinternals: Contains Process Explorer (an improved version of Task Manager) and Process Monitor (realtime display of what files and registry entries are in use).
ack: Programmer-friendly grep replacement that supports match context, recursive search of a directory tree, filtering by source type/language, and ignoring VCS files. Codification of the common sense behavior that normally requires hours of smacking find, xargs, and grep around. Requires a Perl interpreter; I use the community edition of ActivePerl.
TortoiseSVN: SVN client for Windows Explorer.
7-Zip: compression utility.
PuTTY: SSH terminal.
WinSCP: SFTP client.