These are some free software packages that I find useful.

WINDOWS

• cygwin: A linux-like environment on a Windows machine. Even if you don't care about Linux, it provides a very nice SSH/SFTP server for Windows machines.
• PuTTY: SSH encrypted telnet client.
• ScreenSeize: A screen capture utility.
• Shred 2: A file shredder.
• WinSCP: SSH encrypted ftp client.
• Spybot Search & Destroy: Spyware removal.
• Ad-Aware: Spyware removal.
• Weka: A Java machine learning / data mining toolkit.