Hopefully this thread will become a great resource built by the members of the community. I propose that each contributor post a link or three to utilities that you have found to be very useful. Please try to list at least ONE pure security utility if you can. It doesn't matter if it's for Windows, *nix, or Mac....lets not be OS specific so we can try to help as many people as possible. So here goes....
Outpost is possibly one of the best free software firewalls out there, although I'm sure we will see many other options appear in subsequent posts.
Total Commander is a file manager that is so awesome it will make you want to reach insde your hard drive and rip windows explorer out and toss it in the trash. It has built in compression utilities as well as FTP capabilities....I refuse to own a box without it.
X-Setup is a FANTASTIC tweaking tool for ALL versions of windows. As I told Deb in IRC, you can make Windows dance and jump thru hoops with this tweaking tool.
Mailwasher has kept 99% of the SPAM out of my inbox. I am eternally indebted to my buddy Paul for turning me on to this one.
I could probably list quite a few more, but 4 is enough for now. If you try any of the above, I hope you find them as useful as I have.