Tiny Windows programs you can't live without:

[dogscoff]

media jukebox - kicks the poo out of winamp, sonique, WMP etc becasue it handles all sound and video file formats. Very sturdy and well-supported, loads of cool features even in the freeware Version, and some excellent "smartlisting" features as well.

Oh, and it's not exactly indispensible, but I often use a nifty bit of freeware called ckrename, which is handy for bulk renaming of files (good for shipsets).