Tools every SharePoint Developer needs
WSeWSS v1.0- Visual Studio 2005 extensions for Windows SharePoint Services
IE Developer Toolbar - currently beta3. This will save you hours when trying to work out what css is setting the style of which page section.
App Pool Recycler - enumerates the app pools on your box and lets you right click 'em to bounce 'em!
SharePoint Inspector - You can see objects composing its structure, get their properties by reflection, which can be very useful when you want to check if your code does what it should do.
You can use also some advanced features like activate/deactivate SharePoint features, add/remove event receivers, manage your recycle bin.
TestDriven.Net - makes unit testing easy and even enjoyable! (yes I'm not quite a unit testing convert yet! :-) )