In my travels between KDE/Linux and Windows, I've found that Windows is lacking in many features that make my move(s) back to Windows relatively painful. That and often times I'll be thinking "Gee. It would be nice if there were a utility to do this or that that would make my life easier.", which often times do exist in Linux, or are easy enough to reproduce with some scripting.
So here's a small list of some of the tools that I've found that help make life on Windows a little bit more bearable.
By far my #1 pick. Think of it as an easy-to-use scripting language and GUI macro system in one. Have a program that you need to start on login, and THEN go though a complicated process to actually start it up? AutoHotKey can enable you to script mouse clicks and keyboard operations with great flexibility. Not only that, but you can script for certain conditions (such as a failure condition) and code alternate procedures to handle them. I liken it to having the power of Bash on windows, though that's probably an understatement. I find new uses for this program almost weekly. Best of all, it's small and free.
In KDE, you've got klipper. I missed this greatly years ago when I had to start doing desktop support as a one-man IT department. Then, I found Clipboard Recorder. Just think of it as a clipboard history for Windows. It supports any textual format (HTML, etc), so when you copy from Word into another app, the formatting will stick even when you call it up out of the history. When you rely on copy/paste as much as I do (I find it to be a huge timesaver and helps improve accuracy of data-reentry), you find that this is a must-have.
This is more windows-centric, but nonetheless very useful. Just think of it as VNC for your PalmOS PDA. It's so much easier to operate your PDA when sitting at a PC when you can use the full-size screen and keyboard in front of you. My only gripe with it is that it seems to interfere with my PocketTunes streaming on the PDA, so I have to close it when I'm done using it if I want the stream to continue seamlessly.
Windows snapping for Windows. This works like the windows snapping in KDE or for you windows users, WinAMP. For a neat-freak, this is a godsend. It helps you keep your windows nicely organized on your screen and quickly make full use of your screen real-estate.
John's Background Switcher
This is a recent discovery. This allows me to take all of my photos on my PC and randomly use them as backgrounds. Added bonus: it handles dual-screen PCs with versatility. And although I haven't yet checked out this feature, it apparently will tie into popular photo sites such as flickr and facebook so you can use your online photo store as a source of images. Sweet.
So there you have it. I'm sure I'm missing a few items here and there. They'll have to wait for part 2.
UPDATE 8/15/08: One more addition that I think should be placed on the list.
How many times have you thought when changing a setting in a program "I wonder where that setting gets saved." Most of the time programs store setting in the registry, however occasionally they are stored in a file somewhere. With InstallWatch, you can take a snapshot of your system before a change is made, make the change, and then analyze the changes, revealing exactly where your setting resides. I use it all the time to make .reg files that make changing a setting as simple as 2-3 clicks (instead of searching for the setting in the applicable program). This of it as "diff for regedit", only better.