I have just gone through the process of having to build a stable Vista x64 OS on my new Lenovo T61p laptop - which I must say is very impressive.  Apart from the issues with Groove not completely supporting 64-bit (arghh), I installed SQL Server 2005 Developer Edition (SP2 + hotfix package) and then began thinking about what tools/utilities I use during my day-to-day job and which are a must-have on my laptop.  Below is the list of software which I generally install straight away (I'm sure there other useful tools out there):

SQL Server 2000 Books Online (June 2007) http://www.microsoft.com/downloads/details.aspx?FamilyID=A6F79CB1-A420-445F-8A4B-BD77A7DA194B&displaylang=en - essential documentation for those disconnected working environments.

SQL Server 2005 Books Online (September 2007) http://www.microsoft.com/downloads/details.aspx?FamilyID=BE6A2C5D-00DF-4220-B133-29C1E0B6585F&displaylang=en - keep up-to-date with the latest 2005 documentation

SQL Server 2005 Express Edition (for testing different scenarios/features e.g. replication subscription) http://msdn2.microsoft.com/en-gb/express/bb410792.aspx

SQL Server 2005 Upgrade Advisor http://www.microsoft.com/downloads/details.aspx?familyid=1470e86b-7e05-4322-a677-95ab44f12d75&displaylang=en - handy when I need to demo or investigate upgrade issues.

SQL Server 2005 Performance Dashboard Reports http://www.microsoft.com/downloads/details.aspx?FamilyID=1d3a4a0d-7e0c-4730-8204-e419218c1efc&DisplayLang=en - Customers love this software as it exposes a lot of the DMV info in a nice graphical format. 

SQL Server 2005 System Views Map http://www.microsoft.com/downloads/details.aspx?FamilyID=2ec9e842-40be-4321-9b56-92fd3860fb32&DisplayLang=en - not quite as good as the SQL Server 2000 chm system table browser in the resource kit but still useful.

SQL Server 2005 Samples and Sample Databases http://www.codeplex.com/SqlServerSamples

SQL Server DMV Stats v1.01 http://www.codeplex.com/sqldmvstats

Read80Trace http://support.microsoft.com/kb/887057 - according to the PSS guys http://blogs.msdn.com/psssql/archive/2007/11/21/rml-readtrace-ostress-utilities-for-sql-server-2005.aspx a new version should be out soon which will support SQL Server 2005.

PSSDiag http://support.microsoft.com/kb/830232 - useful diagnostic tool which is also

SQLNexus http://www.sqlnexus.net/

Microsoft Premier Services Reporting Utility (PFE version) ttp://www.microsoft.com/downloads/details.aspx?familyid=00ad0eac-720f-4441-9ef6-ea9f657b5c2f&displaylang=en (I use, and recommend, this version over the others as it supports more hardware platforms e.g. IA64.  Read more about MPS reports here http://support.microsoft.com/kb/818742

Visual Studio 2008 (which includes Team Database Edition).  Read more here: http://blogs.msdn.com/gertd/archive/2007/11/21/visual-studio-team-system-2008-database-edition.aspx

MSDN Library (April 2007 Edition) – Includes Visual Studio 2005 Service Pack 1 documentation http://www.microsoft.com/downloads/details.aspx?FamilyID=b8704100-0127-4d88-9b5d-896b9b388313&DisplayLang=en

Virtual PC 2007 (must-have for testing legacy and future SQL Server releases) http://www.microsoft.com/downloads/details.aspx?FamilyId=04D26402-3199-48A3-AFA2-2DC0B40A73B6&displaylang=en

Data Mining add-ins for Office 2007 http://www.microsoft.com/downloads/details.aspx?FamilyId=7c76e8df-8674-4c3b-a99b-55b17f3c4c51&DisplayLang=en (also available as part of the feature pack http://www.microsoft.com/downloads/details.aspx?familyid=50b97994-8453-4998-8226-fa42ec403d17&displaylang=en)

3rd Party Software

Redgate sqlprompt - until Katmai is released which has native intellisense :-) http://www.red-gate.com/products/SQL_Prompt/index.htm

Redgate Refactor - which is great for automatically indenting my T-SQL logic http://www.red-gate.com/products/SQL_Refactor/index.htm

Beyond Compare (for quick script/schema comparisons) by Scooter Software http://www.scootersoftware.com/

Erwin Data Modeler (invaluable ER modeler, great tool) http://www.ca.com/us/products/product.aspx?id=260

Litespeed http://www.quest.com/litespeed-for-sql-server/ - I need to be familiar with Litespeed as a few customers use it for VLDB backups.  

..and how could I forget Oracle 10/11g http://www.oracle.com/technology/software/products/database/index.html for testing connectivity, SSIS ETL processes etc. for all those migration projects :-)

Please let me know if you recommend any other useful SQL tools and I'll add them to the list.