Free Utilities

I've categorised most of these by platform compatibility, and whether they're Open Source Osftware (OSS). Hope you find something useful!
Adware & Spyware
Ad-Aware (Win)
Finds and cleans out "spyware" on your computer. "Spyware" is a generic term for small programs that monitor what you do and may send off information about you to various sites, often installed with 'adware' or (supposedly) freeware progarms. It's free, easy, and quick, and you may be amazed at how many 'optional extras' you've accumulated over the years.
Spybot: Search & Destroy (Win)
Another well-regarded anti-spyware solution.
Download Managers
Star Downloader (Win)
Can do multi-source downloading and resuming/scheduling. Small and quite fast.
LeechGet (Win)
Likewise, this accelerates your downloads by retrieving from multiple sources & pausing/resuming downloads. It's a larger program, but quite comprehensive.
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.
LeechFTP (Win)
Although sadly it's no longer being updated, this is a pretty good free FTP client for Windows, with a nice UI and good download speed. It does the usual two-pane view with an additional thread information column, favourites, log pane, and all the usual tricks.
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.
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.
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.
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.
Analog (OSS, Win/Linux/etc)
A great webserver logfile analyser. Takes a lot of configuration, but is very customisable, producing useful graphs and tables.
Proxy Servers & Web Filters
The Proxomitron (Win)
A local HTTP proxy that I have tried. It can strip out ads and so on, and monitor HTTP headers (useful for CGI script debugging). Worth a look if you have time on your hands.
AnalogX Proxy (Win)
A tiny proxy server with full web/FTP/mail/SOCKS support. If you're looking for a lightweight proxy, this is great. No filtering capabilities though.
WebWasher (Win)
I haven't tried it but this link was emailed to me, and it looks pretty useful. Basically it's a browser addon that helps preseve your privacy online. That means it's a cookie muncher and referrer tweaker, amongst other things, so if you're worried about your online footprints have a look.
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, as well as the IE Web Accessories too - they're all worth installing.
XTEQ X-Setup (Win)
Where TweakUI leaves off, this begins. It has over 500 hidden options for Windows and your favourite programs via a 'plugin' interface. Very, very comprehensive for power users - over 500,000 of them according to its creators. One of the best tweakers around, and free!
Cacheman (Win)
A must for Win9x systems that are always running out of RAM and having to go through the whole disk-thrashing process every 30 seconds. This neat utility automates the addition of SYSTEM.INI entries to place upper and/or lower limits on this disk cache size. On my Pentium II system, I loaded the 'System Monitor' applet and told it to display the disk cache size. Nearly half my RAM was tied up in my cache? Setting a manual upper limit certinaly gave application usage performance a boost, especially for games. Also, many people with CD-writers swear by this to reduce the number of buffer underrun errors. Very easy to use, and free.
TClockEx (Win)
You know that clock in the taskbar? Supercharge it with this. Alter the font, colour, contents and width for a start. Then add a popup calender and memory/CPU usage bars. Finish with a customisable tooltip that can display things like free resources and you have an indispensible addition to your system tray.
Zip Utilities
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.
ICEOWS (Win)
The new name for ARJfolder, and it's well worth a look too. Unlike WinZip, PA and others, it doesn't have a native interface, instead it does everything by hooking into Windows Explorer and displaying archives as folders.
7-Zip (OSS, Win)
Reputed to have extremely good compression levels, especially with its own archive format. A small download, too.
Enzip (Win)
No nag screens, an interface resembling Internet Explorer with folders displayed down the left, and shell integration all in a 1.5meg download makes this very usable. No longer being actively updated.
ZipCentral (Win)
A comprehensive free archiver; last I tried it, I didn't like its subfolder support much, although it may have improved recently.
Ultimate Zip (Win)
A free archiver, I haven't tried it.