I use the already mentioned PowerMand Daemon Tools. PowerMenu is awesome since it lets you adjust process priorities from their windows' system menus, as well as transparency, always on top, and miniimze to tray features.
I made my own screenshot tool
http://x.mzzt.net/EasyScreenshot.NET.exe
I can't get a real screenshot since... I use it to take my screenshots.
Jing sounds like it offers more in terms of features, but mine goes for minimalism (after you configure it, you just double click the tray icon to take a picture, and click and drag to mark the area to capture. The rest... saving, naming, uploading... is automatic by default).
I also use OpenVPN with the OpenVPN GUI for connecting to a VPN.
Some other tools I found that I don't really use but are cool (Google for links):
WinFlip: Vista WIN + TAB task switching for XP!
WAssociate: A bit of a technical file association editor but it allows access to more settings than most file association editors.
VystalVivid: Replaces every new windows border with a very good Aero Glass look-alike, complete with blur. It's slow though.
System Explorer: An all-in-one Task Manager replacement. It's less of a CPU hog than Process Explorer ad only lacks a few of ProcExp's useful features (like file handle search).
3DCC: Allows more control over editing Windows Classic color schemes than what the control panel provides.
I made this scheme.
ContextEdit: Another techie tool which allows you to easily disable context menu items for files and foldes.
Command Prompt Explorer Bar: Puts a command prompt in Windows Explorer as a bar thing.
D-Color XP: Allows you to display your desktop as tile icons. Kinda neat.
I used AutoIt to display my desktop in details view once. It was pretty cool, but useless.
Dr. Windows: Fake "protection" software, I guess for a prank. Or maybe if someone keeps bugging you to install anti-malware software and you don't want to you can show them you run "Dr. Windows" so you're protected.
Clippy: More fake software, this one you plant on someone else's computer. I made my awesome TF2 spray with it.
Fast Explorer: Another file association program, you can also disable shell extensions and context menu items.
FastAero: Another Aero Glass look alike for XP. This one is a lot better on performance but you don't get blur and everything is clearly sized for 120DPI with no option to adjust it for lower DPIs.
FindeXer: An XP "favorites" sidebar for Explorer, which aims to be like the new Vista explorer one. Only problem is you can't have it and the Folders bar open at the same time. :downs:
My Expose: Mac task switching for XP. I think I need to reinstall it because when I went to try it again it crashed.
I have a ton more of interesting little freeware apps but I'll leave my list like this for now since it's getting pretty long.