Here are some cool .NET tools from MSDN / codeplex, complete with Download and tutorial links.

Tool Summary Where to get it Links
CLR Profiler Easy way to measure memory performance for managed apps. Download for .NET 2.0, .NET 1.1 Tutorial
Perf Console Awesome for analyzing performance issues for apps.
This makes perf analysis surprisingly easy to do and is perfect for the non-perf person.
Download Demo, details
Power Shell A shell scripting language that's infinitely better than batch files. Download Tutorial, Blog, MSDN
Iron Python Python on .NET See link on homepage. Source code Homepage, Tutorial included in download.
MS Build Way better than NMake. Included in .NET redist. Tutorial, Blog, Forum
MDbg Managed wrappers for debugging managed apps. Download (Also in the SDK) Forum, Other Links