Free Utilities

I've categorised most of these by platform compatibility, and whether they're Open Source Software (OSS). Hope you find something useful!

Download Managers

wxDownload Fast (OSS, Win/Mac/Linux)
Multithreaded, multiplatform and free.
Star Downloader (Win)
Can do multi-source downloading and resuming/scheduling. Small and quite fast.
Fresh Downloader (Win)
Required free registration to use last I checked.

FTP Clients

FileZilla (OSS, Win)
A nice open-source FTP client (and server, but I haven't tried that) for Windows. Pretty quick and easy to use once you set it up correctly.

Log Analysers

AWStats (OSS, multiplatform)
A free web/mail log analyser with extensive reporting.
Analog (OSS, Win/Linux/etc)
A great webserver logfile analyser. Takes a lot of configuration, but is very customisable, producing useful graphs and tables.

Miscellaneous Utilities

AnalogX Utilities (Win)
OK, so this should really be in the 'links' section there's so much useful stuff on this site. This is one excellent programmer - most utilities come with installers/uninstallers in one file that totals 250k or so! Surf around, there's sure to be something useful there.
Resource Hacker
This is a program to extract resources, such as pictures, icons, cursors, sounds and even entire menus and windows out of programs. It can also modify those resources, with its own internal resource compiler and decompiler, meaning you can rearrange dialogs, menus, pictures and so on within your favourite programs. For instance, I once replaced the picture up the side of the Start Menu and rearranged Winamp's context menu to suit my taste. This is an awesome piece of code, and an essential download for the advanced user who really likes to tweak.
Outlook Express QuoteFix (Win)
For Outlook Express at least, this will add a lot of features to plain-text emails, like colourised quotation of replied email conversations, and myriad formatting improvements. If you use OE, try this out.

Mail

Thunderbird (OSS, Win/Mac/Linux)
A great open source email client.

PDF Viewers

Foxit Reader (Win)
A much lighter weight alternative to Adobe Reader
SumatraPDF (OSS, Win)
An open source Windows reader. For more OSS readers and other platforms, see PDF Readers.

Proxy Servers & Web Filters

Adblock Plus (Firefox extension)
Essential, really.
Privoxy (Win)
A local HTTP proxy that can enhance the surfing experience.

Security

PuTTY (OSS, Win)
A great open source SSH client for Windows.
TrueCrypt (OSS, Win/Linux)
Free disk encryption software.

Windows Tweakers

TweakUI (Win)
The classic 'Tweak User Interface' tool from Microsoft has been recently updated, and now supports Windows 2000 and ME. For WinXP, there's a separate version that is part of the 'XP Powertoys' colection. Anyway, this allows you to change heaps of hidden options like menu speeds, mouse behaviour, desktop items, shell folders, your Add/Remove programs list, shortcut icons, explorer settings, new documents menu... the list goes on and on. All in a handy controls panel applet that is a must for power users. Look out for the rest of the 'PowerToy' and 'KernelToy' collections, they're all worth installing.
System Internals (OSS, Win)
Again, technically a link but I had to include it here. This is a site full of small monitors that allow you to watch the innards of Windows at work. For instance, there are programs to monitor all accesses to disks and the Registry, as well as programs to show DLL dependencies and lists of open files and ports. If you understood all that, you need these.

Zip Utilities

7-Zip (OSS, Win)
Reputed to have extremely good compression levels, especially with its own archive format. A small download, too.
IZArc (Win)
Powerful free zip utility with many options and formats available.
PowerArchiver v6.1 (Win)
It supports a lot of formats for both compression and decompression and has good shell integration (you can do most zipping and unzipping via right-clicks, including good subfolder handling, and dragging uncompressed files onto archives to add them, like regular folders). Note that this is the last freeware version of this application available.

Disk / File Recovery

Disk Drill data recovery (Mac)
Find how to recover deleted files easily. Has a graphical interface.
TestDisk / PhotoRec (OSS, Linux, Mac, Win)
Open source disk recovery and file undeletion software, console interface.

Tell Me More

I'm always willing to hear of any interesting new downloads!