Royo mentions his preference wrt coding fonts. I recently (re)discovered a tool which is just as important for developers - the ClearType Tuner. This little utility lets you tweak the Windowns XP ClearType settings to make text look... err... clearer. I ran it on my laptop ages ago but for some reason never thought of using it on my desktop until recently. The improvement is quite noticeable.
Highly recommended! It is available in two flavors:
Online wizard: http://www.microsoft.com/typography/ClearType/tuner/Step1.aspx
Downloadable Powertoy: http://www.microsoft.com/typography/ClearTypePowerToy.mspx