I will not be keeping these files locally, to make sure you always get the most up to date versions of all this software - please just follow the links provided :)

N.B. Some of this software is not freeware, but rather shareware, meaning it may be time-limited or have nag screens etc. (see descriptions for details).

CK Rename
After much digging around I finally found a FREE and fully featured file renaming utility. Remove, insert or replace strings, change extension, raise or lower case, string substitution... I'll leave an exact use to your imagination ;). Freeware.
www.musicsucks.com/CKSoft/

FileZilla
Excellent and easy to use FTP client, this is the preffered way to download and upload files from FTP servers (far, far superior to e.g. Internet Explorer). Freeware.
filezilla.sourceforge.net

DirectX CAPS viewer
For more advanced users again, allows you to see the exact hardware capabilities of your video card amoungst other things. Make sure you are looking under "Microsoft Direct3D Hardware acceleration through Direct3D HAL (Direct3D HAL)". Freeware.
download locally (86kb)

DirectX Control Panel
Allows configuration of advanced (normally hidden) DirectX settings via the Windows Control Panel, but don't fiddle with anything you don't understand :P. Freeware.
download locally (34kb)

mIRC
The most popular IRC client, this excellent little program will let you chat with thousands of like-minded people around the world - EFnet is the most common network for emulation related channels. Unlimited shareware.
www.mirc.co.uk

PowerStrip
This is a fairly specialist utility which gives advanced control over your graphics card and monitor, in particular refresh rates, colour calibration and overclocking. I include it here as a possible fix for Vodoo2 owners wanting to use Nemu, although it could be used to increase graphics performance for most people. Time limited shareware.
www.entechtaiwan.com

RivaTuner
Tweak utility for nVidia graphics cards. Homepage is in Russian but program is in English. Freeware.
http://www.nvworld.ru/

IZarc
Supports many formats, but slightly buggy GUI. Still the best free compression utility overall I can find. Freeware.
www.izsoft.dir.bg

7-Zip
Extremely efficient 7-zip compression format, and decompression of many formats, but basic GUI. Freeware.
www.7-zip.org

WinRAR
An excellent compression utility, good GUI, superior to WinZIP, but not free. Time limited shareware.
www.rarsoft.net