I will use this post as a repository for my favourite Windows Mobile Applications:

AE Button plus
This utility extends functionality of hardware keys on Windows Mobile devices. It allows you to:

As a result you may “convert” volume slider to up/down arrows, assign several essential application buttons to these “SoftKey” buttons and even assign your favorit alternative dialer to red/green phone buttons.

G-watch:
G-watch is a stopwatch/countdown that uses your built in GPS to track how much distance you have covered running/cycling/driving. It is really really cool. It is still a beta version but worked very well for me. On my way to my training I uploaded that application to my phone and was happy to finally know my running speed and the distance I ran. This will be great to set goals and improve my running speed.

BBC Iplayer:
Ok that one is not really an application but you can find the steps to allow the BBC Iplayer on your HD on the following website
http://www.tracyandmatt.co.uk/blogs/index.php/2008/12/01/bbc-iplayer-streaming-on-windows-mobile