Below is a list of various tools I use, some SQL related and some not. Follow the links to my blog entries for more details about why I use/like any of them. As the list grows I may try to categorize a little, for now we'll just go with alphabetically.
Hamachi VPN - Free/$40 year peer to peer VPN client that is very easy to set up.
Password Safe - Free and open source, stores credentials and associated notes.
Quicken - $30-$80, manage family finances.
Servers Alive - Free to monitor 10 items, $400 for full product, used to monitor servers/services/etc and notify via email/pager/instance message on problem condition.
Snarfer - Free Windows based RSS reader.
TaskSwitchXP - Free Alt-Tab replacement for Windows XP.
Virtual CD-ROM Control Panel - Free, allows you to mount a CDROM ISO image and treat it like a real drive, no need to burn the ISO to CD to read.