All developers have certain software they use day in day out, either essential utilities or best of breed applications. Here is some of the software that I use, grouped, but in no particular order.
Microsoft
MSDN Professional - The most cost effective of the MSDN subscriptions.
MS Action Pack - Excellent value from Microsoft for registered partners.
SQL Related
ApexSQL - A complete suite of SQL developer tools.
SQL Internals Viewer - see the physical allocation of pages within files.
Reflector.SQL2005Browser - addin for Lutz Roeder's .NET Reflector that can be used to browse .NET assemblies stored in a SQL Server 2005 database.
SQL Delta - database schema and data diff and synch tool.
SQL Recon - find those servers!
Miscellaneous
Editplus - Excellent text editor.
BeyondCompare - file and folder comparison utility.
WinZip - file compression tool that integrates perfectly with the Windows shell.
Directory Opus - reliable Windows Explorer replacement.
VMWare Workstation - development and testing has never been easier.
Taskbar Shuffle - When you have too many task bar buttons it's priceless being able to move them around.
SysInternals Suite - all the SysInternals utilities in one handy package.