I was just looking at this thread to remember how to customize the windows xp themes and thought I should add some freeware and see if anyone has any new ones to add...
Axcrypt - Useful for easy encryption on windows
Eraser - Good for wiping clean hard drives or just files that need to be gone
Objectdock - (eyecandy) sort of a rip off of OSX icon launcher thing.
Stickit -Sticky notes for the desktop