A few favorites:

• mplayer plays nearly everything you can see or hear. (I prefer the console-only builds)
• Noah for handling virtually any "ark I've."
• HeidiSQL for mySQL dev. It's been on my list since the 'MySQL GUI' days.
• TortoiseSVN. Listed by Arunbear, but it deserves a second mention.

And a few others:

• Safari for win32. It's there. Might as well try it out.
• SciTE is great if (like most editors) you take the time to really bend it to your will.
• foobar2000, a 'lite' audio player with plenty of plug-ins available to make it heavy.
• Privoxy to filter out banner ads. (...they still use those right?)
• aspell for win32. 'Reccomended' for those pesky misspellings. ;^)

For more small apps, visit http://tinyapps.org/.

Addendum: I forgot SpeedFan.