May not be the most commonly used program around, but I use CYGWIN alot! It's a suite of many free (speech and beer sense) ported UNIX utility, making my life much easier with bash, awk, sed, etc...Although I am not quite sure which catagory of software it falls under.
Since now it also come with an Xorg X server, I have stopped dropping $ @ Exceed as well. It also replaced my ssh client and acts as an ssh server, apache server. I am sure other people have found much better use of it too. My complain though is CYGWIN doesn't support unicode, which is a pain when you have to read/write NTFS file with unicode filename...
A kind of problem I find missing in general is an mp3 CD maker, that is, given a playlist, burn a CD with the mp3 files (not audio CDs). I don't know any, so I just wrote a shell script to read the PL, and copy the files appropriately (renaming them according to ID3v2) to another location for burning.
cygwin is also a good transitional software if someone wants to try linux. It did for me. I am actually mostly linux nowaday because of a sudden grown conscience not to use anymore pirated software I can't afford. Even in Windows, I use firefox, thunderbird, Open Office etc...
I don't know much about software engineering, but is development so hard that consumer has to buy new version of the same thing every two years? Surely hardware capacity has increased and therefore one can write more demanding software, but I can't find one thing in office xp that I don't already use in office 2000.--this perhaps belongs in another discussion thread.