While this isn’t a full exhaustive list. It is mostly tools that aren’t built in or may not widely be known about.

Multi-Platform Tools:

nmap

Network Mapper is a free and open source utility for network discovery and security auditing.

dig

Command-line tool developed by BIND for querying DNS nameservers.

Diagrams.net

(Formerly known as Draw.io)
Free Open-Source Tool for designing diagrams and flow charts.
You can use the web app on their website without install nor signup.

Windows Tools:

Chocolatey:

Chocolatey is a package manager that makes it easier to install and upgrade software.
It downloads software from the source. Checks the hashes to ensure it wasn't tampered with.
Then does a full silent install.
You can also do a silent upgrade of all installed packages with one command.

Programs I like to manage with Chocolatey:

Web Browsers:

Chromium and Firefox depending on what I need:

 choco install chromium 

 choco install firefox 

Diagrams.net (Formerly Draw.io)

Free Open Source Tool for designing diagrams and flow charts.
You can use the web app on their website without install nor signup.

 choco install drawio 

VLC Media Player

Plays most music and video files without the need for additional codecs

 choco install vlc 

MP3 Tag

Tool to add/edit the tags on mp3 files such as Album Art, Artist, Title, Track #, CD #, ect.

 choco install mp3tag 

KeePass 2

Free Open-Source password manager.
It encrypts your passwords into a database that consists of only one file that can be transferred from one computer to another easily.
I also like some plugins like keeagent as you can store your ssh keys as attachments in the database. Keeagent can also load the key for your ssh sessions.
Note: I no longer like using agents such as keeagent or pagent as it auto submits keys which is a security issue as well as can cause logins to auto-fail.

choco install keepass

choco install keepass-yet-another-favicon-downloader

7Zip

Tool to pack and unpack archives and compressed files of multiple formats such as rar,zip,tar and 7z.

 choco install 7zip 

Greenshot

Better replacement for snipping tool that has a built in annotation/edit tool for Highlighting, obscuring sensitive info, numbering steps, drawing arrows ect. It also allows easy export to clipboard, word, outlook, imgur, or save the file.

 choco install greenshot 

Flux (f.lux)

Make the screen easier on your eyes by reducing blue light at sunset and at night to help not interfere with your circadium rhythm.

 choco install flux 

Paint.Net (Paint dot net)

Free photo editor that supports layers, magic wand selector, and some light editing.

 choco install paint.net 

OnTopReplica

Picture in Picture overlay for any application window.
Also supports transparency.

choco install ontopreplica 

4k Video Downloader

Download videos from youtube.

choco install 4k-video-downloader

Audacity

Free Open-Source Audio Editor

choco install audacity

I recommend installing these programs manually:

Windows Terminal

It is a more modern CLI terminal with tabs. It can also be customized.
It supports cmd, powershell, WSL.

Sysinternals Utilities

Tons of useful tools for Windows directly from Microsoft.
My favorites are Whois and Autoruns.

BalenaEtcher

ISO / Image installer that works for for multiple OS. For me it works better than Rufus when installing Rasbian on Raspberry Pi SD Cards.

Steam

Popular game client for connecting with friends and playing games on PC

Discord

Popular chat client for connecting communities and friends.

Wireshark

Network packet analyzer to view captured network traffic.

Notepad++ 32bit

Versatile notepad with extra features and plugins. Install the 32 bit version if you want to be able to use plugins.

Spotify

Recommend using the UWP Windows Store version if you want to add/sync tons of local files of media. Otherwise I'd recommend the regular non-UWP Windows Store version as it seems to have less lag on the controls.

Portable Programs:

PuTTY

Remote Terminal/Shell for SSH, Telnet, Serial.
Note: I will probably remove this recommendation in the future.
once I find a good modern alternative for Serial / Telnet.

WinSCP

Remote File Transfer GUI for FTP, SSH, SCP.

WinSSHTerm

Easily manage multiple putty windows, run scripts, and integrate PuTTY and WinSCP.

YUMI

Allows you to setup multiple boot images on a single usb device.

TFTPD32

Portable TFTP Server that also includes DHCP and a few other tools

Android Tools:

CIDR Calculator by Randy McEoin

An easy to use subnet calculator that works with ipv4 and ipv6.

Shows the network range,# of useable hosts, netmask, wildcard, and even the binary bits.

KeePass2Android Password Safe by Croco Apps

Password Manager that works with the encrypted .kdbx files

NewPipe

Youtube/Video player that can play audio in the background/screen lock. Along with other free features

Not available on the Google Play store, you have to manually install the .APK file

Linux Tools:

My Traceroute (mtr)

A cleaner formatted traceroute

Tools I no longer use:

Windows Subsystem for Linux (WSL):

An easy way to run some Linux tools on Windows 10.
Though it is not a fully fledged Linux environment so not everything works.
For example nmap won't work inside the WSL.
nmap does work on WSL Version 2 but not all features as it doesn't have Layer 2 network access.
I switched to just accessing a full linux virtual machine over SSH.

To install:
Enable the windows feature "Windows Subsystem for Linux"
Then install a Linux Distro from the Windows Store.