This may not be news to some, however I have recently discovered I can middle-click on an application on the taskbar (the bar along the bottom of your screen where the Start button is) and it closes the window. This may actually be the result of some other program I’m running, so please comment to confirm or deny this.
Update: Turns out this feature is part of a program called Taskix, who’s main job is to move items on your taskbar around. This is marginally useful to me, but at less than a megabyte of memory usage, I’m leaving it on.
Other programs I like to have running all the time are: Winamp for music, WikidPad for jotting down ideas and journalling, Launchy for launching programs by typing in their names and a AutoHotKey script that makes my caps lock key into backspace and gives me text navigation controls using Alt-IJKL for top, left, down, right.