It is very easy to debug your PHP code using PDT and the Zend Debugger. Just download the version corresponding to the installed PHP and follow the instructions inside. Also see the installation guide
Firebug - A good firefox add-on for debugging javascript
Spry Framework - Easily introduce chic elements to your web page. I used it mostly for user input verification
trove - High performance primitive collections library
JProfiler - Very good profiler that also integrates with IntelliJ
Hibernate - A very powerful Object Relational Mapping (ORM) library. Had some performance problems with it for massive data access, but does an excellent job with simple usage
Good configuration of WinEdt. In particular, I find it very convenient to use Sumatra PDF viewer instead of the default Adobe PDF viewer, as it does not lock the PDF file and reloads it automatically when it is recompiled
LyX - An open source WYSIWYG latex editor (not using it anymore)
TortoiseSVN - Working with an svn repository is very efficient, for any source control or revision management. To create a local repository, nothing other than tortoise is actually needed (e.g. svn server). It's easy as right click and Create repository here…. The repository can then be accessed from Tortoise via file:\\\C:\location
VisualSVN Server - A package for setting up an SVN server on windows, managing repositories, user permissions, etc. Great for code/document collaboration.
GraphViz - Library for visualizing structured information like graphs and networks. Also has interesting research behind it. It can either be used as a third-party, or as a scripting language