I would like to expand on a lot of these, this is a list of tools that I recommend anyone use.

Integrated Development Environments

Visual Studio - Microsoft IDE for developing applications in C++, C#, J++

Eclipse - Open Source IDE for Java, PHP, Ruby and many other languages

NetBeans - Another Open Source IDE used for Java, PHP, Ruby etc

Database

MSSQL - Microsoft SQL Server RDBMS

MySQL - Open Source Database

SQLYog - GUI Interface for Mysql

Version Control

Git, Subversion, Team Foundation Client - Included in the Team Foundation Edition of Visual Studio

Visual SVN - Plug in for Visual Studio that allows you to connect to subversion version control system

TortoiseSVN - Plugin for windows that adds commands for explorer in windows

Design

Photoshop, ZBrush, 3DSMax, Flash, Illustrator, Acrobat

Audio / Video

Cubase 5 - Multitrack Midi Software, EzyDrummer, Fruity Loops, WaveLab, WinAmp, TraktorDJ, Guitar Pro 5, Avid Xpress DV, Reason, Rebirth

Other Tools

Fiddler - HTTP Proxy Debugger, TextPad / UltraEdit, WinSCP, Putty, VMWare, CutePDF, SmartFTP, Beyond Compare, nMap, DVDFab, Nero, Skype

mIRC, Spybot S&D, Zinc,  CPUID, PowerISO, AVG Virus Scanner, Win HTTrack Website Copier, Mozilla, Google Chrome, IETester, Open Office, Microsoft Office

KeyFinder, MacDrive, WinPcap, WireShark

Firefox addons

Firebug, FlashGot, DownloadThemAll,FlashBug