Free Media / Audio Software

I've labelled most of these with their platform compatibility, and whether they are Open Source Software (OSS).

CD/DVD Software

CDex (OSS, Win)
A free CD ripper.
Exact Audio Copy (Win)
Like CDex, but focuses on very high quality rips. Has many options to avoid clicks and reading errors, and the usual encoder support.
ISO Buster (Win)
A great CD/DVD analysis utility. View the TOC data on a CD, extract tracks or sessions to image files, load/view/convert image files, build cuesheets, retrieve data from damaged CDs, and more.
ISO Recorder (Win)
Easy burning of ISO files to CD.
InfraRecoder (OSS, Win)
A multipurpose free CD/DVD burning utility.
DAEMON Tools (Win)
This really rocks. It creates up to 4 'virtual CD drives' into which you can load ISO images or other image formats, to access like real CDs. Copy your favourite games or CDs you find you use often onto your hard disc, and play them from there; no more juggling scratched discs.

Codecs

FFDShow (OSS, Win)
Don't bother installing DivX, XVid, and half a dozen other codecs just for playback. Instead, get this. It plays them all, and has an incredible amount of post-processing options to enhance the quality of MPEG4 video content.
Nero AAC Codec (Win, Linux)
A high quality AAC codec.
OGG Vorbis (OSS, Win/Mac/Linux/etc)
Patent-free, royalty-free and high quality, this is a great audio codec.
RareWares (Various)
A collection of hard to find encoders and decoders.

Media Players

Media Player Classic - Home Cinema (OSS, Win)
This is a replica of the Windows Media Player 6 GUI, with the internals completely reworked from scratch. It plays audio and video, with fine-grained control over codecs and filters in use, and supports almost any format with the codec installed (including WMV, Real, Quicktime, DivX/MPEG-4, subtitling, etc...). Great stuff if you're looking for a fast, free video player.
foobar2000 (Win)
Don't be fooled by its simple looks. This is the most customisable audio player I have ever found, with a highly modular design. Designed by audiophiles for high-quality audio processing and playback, it plays most popular open formats.
Videolan Client (OSS, Win/Mac/Linux)
This is a very interesting piece of software. It natively plays almost any standard media format, including DVDs, and can stream files over a LAN for playback on a remote computer.
MPlayer / MEncoder (OSS, Linux/Win/Mac)
Can play and convert most formats, very powerful at the command line.
Songbird (OSS, Linux/Win/Mac)
An iTunes-like player built on open source technologies.
Winamp (Win)
The original and still one of the better media players. Now with video support, and a decent media library.

Miscellaneous

Audacity (OSS, Win/Mac/Linux)
Audacity is a great free WAV audio editor, with lots of features and a very friendly interface. Supports loading and saving many different formats, and has a large range of effects. Beats SNDREC32.EXE any day :).
GEISS (Win)
Neat graphics visualisations.
MP3Tag (Win)
Organise and mass-tag your collection of MP3, Vorbis and other audio formats. Can guess tag values from filenames or vice-versa, and retrieve information from the internet.

Peer To Peer Networks

Gnutella
Whilst not edible, Gnutella (originally by Nullsoft, who also made Winamp) is very good at creating a large distributed file sharing network. Basically, this means mp3s of dubious legality. However, since it has no central server, anything can and often has been shared - each user has to connect to another Gnutella user, who in turn knows several other users, and so on. The original Gnutella program is now pretty out-of-date, but several free replacements like Gnucleus exist. See Zeropaid for more.
KCeasy (OSS, Win)
Based on a backend called giFT, this is an interesting-looking multiprotocol P2P client.
Deluge (OSS, Linux/Mac/Win)
A powerful multiplatform BitTorrent client.

Tell Me More

I'm always interested to hear any interesting links...