SyncToy: If you work with multiple computers, you'll surely want certain files synchronized between them so that you don't have to copy/move them to all the computers yourself. Here's where SyncToy comes in handy. It allows you to set up directories which will be synchronized across all the computers. When you run the toy, it will scan the network for changes in the specified directories and update the files on all the computers to the latest versions.
Open Command Window Here: If you work with the command prompt, you've been through the usual drill of cd'ing and cd..'ing to get to the folder you want to work with. And if that folder is quite deep, you're going to waste time just navigating to it. This PowerToy will let you simply right click on the folder and give you an option to start a command prompt with that folder directly.
TweakUI: If you want to modify XP's user interface, look no further than this tool. It has a gold mine of settings to help you tune the user interface of your OS through hundreds of settings. This could easily be the most powerful toy in this set.
Virtual Desktop Manager: If you've been working with Linux, you must have loved the virtual desktop functionality provided. For people not well versed with Linux, you can now have multiple virtual desktops which can have have different windows. Think of it as having 4 different monitors. So if you're multitasking with lots of applications at the same time, you can move these applications to separate virtual desktops and unclutter your working area. This toy allows you to have 4 virtual desktops which can be managed/switched from the Windows taskbar.
Power Calculator: For everyone who needs to work with moderately complex math, the Power Calculator will come in handy. It includes support for graphing, functions and conversions.
Alt-Tab Replacement: This tool changes the behavior of the Alt+Tab functionality in Windows XP. So now, instead of getting a box with program icons to switch through, you get previews of the actual windows themselves. This is similar to the kind of functionality found in Windows Vista or Windows 7 natively. Unfortunately, unlike the newer versions of Windows, XP's desktop isn't 3D accelerated, so using the Alt-Tab switcher bogs down the system as it creates previews for each window you're cycling through.
ClearType Tuner: If you're using an LCD as your display device, you should have turned on ClearType in Windows. This functionality uses subpixel rendering (kind of like antialiasing) to provide smooth text on certain displays like LCD or flat-panel. This toy allows you to tune the ClearType settings to match your exact preferences.
Taskbar Magnifier: If your vision is impaired in any way, this tool will come in very handy. It basically shows a magnified version of whatever you're pointing your mouse on, on the taskbar.
Webcam Timershot: This tool allows you to setup predefined intervals at which a connected webcam will take pictures, and save them in a specific folder.
While not incredibly feature-packed, these small tools will go a long way towards scratching those tiny itches which would either require you to buy a full application or forfeit the functionality. Microsoft has compiled a page where you can find links to all the different PowerToys I've just mentioned. Click here to go to the PowerToys page and then navigate to or download the toys you want.