In this post I will compile a list of tools that I use. Feel free to suggest any other tool :

Common Tools
WinDirStat reads the whole directory tree once and then presents it in three useful views.
http://windirstat.info/

Dependency Walker is a free utility that scans any 32-bit or 64-bit Windows module (exe, dll, ocx, sys, etc.) and builds a hierarchical tree diagram of all dependent modules.
http://www.dependencywalker.com/

Process Explorer shows you information about which handles and DLLs processes have opened or loaded.
http://technet.microsoft.com/en-us/sysinternals/bb896653.aspx

Managed
Deliver The Power Of Spy++ To Windows Forms
http://msdn.microsoft.com/en-us/magazine/cc163617.aspx 

Explore, browse, and analyze .NET assemblies
http://www.red-gate.com/products/reflector/

Native
Spy++ (Available with Visual Studio.)

Profiling
AQTime ($)
http://www.automatedqa.com/products/aqtime/

Visual Studio Addin
Instantly find every occurrence of a function, variable, API, error code or anything else in your source code, with a single keystroke.
http://entrian.com/source-search/

Here is a listof sources and tools that I use when looking for information needed to perform a competitive intelligence analysis.
Feel free to share yours.

Organisations around competitive intelligence / Veille : AFNOR, C4ISR (Military)

Social Web Browser : Flock

Internet Archives : WebBackMachine, Google News TimeLine, Google Cache 

Thesis and Scientific documents : Papyrus, Google Scholar, CNRC 

Document Indexing tools : Copernic, Coveo, Vivisimo, InfoSphere

Search Engines : Google, Ask 

Meta search engines : All the web, DogPile, Mamma

Library and books database : Alexandria, Google Books

Subventionned Projects : CORDIS, RECAP (Medical)

Intellectual property :

• Web
  Patent Storm, Google Patents, United States Patent and Trademark Office
  
• Software
  Matheo

Consultant : DigiMind

Industrial Database : GlobalSpec

Library :  ETS , ProQuest

Audit : Fuld

Brainstorming : FreeMind

Wikis : ClearWiki, WikiSpaces

Here's a very interesting blog entry I found about how Visual Studio's Intellisense works and some of its seemingly bizarre behaviors..

http://blogs.msdn.com/cyrusn/archive/2005/05/13/417344.aspx