Got mine last week and after reading modaco/xda-developers a lot I've currently got the following:
Apps
SPB Wallet - keeps account numbers etc, syncs with PC (encrypted)
Opera - seems to render better than IE
Skype - duh
PocketRAR - see above
wmIRC - IRC client
Messenger - MSN client
(tried Fring, didn't seem to get on with Skype....)
Resco Photo viewer - far better than the built in viewer
GPS
Tomtom - again, duh
Windows Live - handy for searching, comes with map function
Google maps - quite nifty too
System stuff
Resco Explorer + Registry addin - a must, great file explorer, enabled ftp and registry access, formats, encryption, zipping... sending of files easily etc etc
Sprite backup - good backup tool that can restore your device from scratch
Thunder WM5torage - allows your storage card to be mounted as a mass storage device in XP
Slipstream Blue Schedule - schedules when bluetooth is turned on/off (I'm lazy)
SPB GPRSMonitor - comes with the phone, worth keeping on top of your data usage
Cambridge vxUtil - ping/trace/etc
Batti - as above, great little battery app
BTAudioToggle - redirects all audio through your BT headset, even if mono/no A2DP
Input
T9 Phone pad - emulates a normal phone pad with T9... great for texting
Pocket CM Keyboard - bigger keyboard that you can use with your fingers
Pocket CM Contacts - HTC touch like interface for your contacts, can scroll using fingers and also has text threading support
Q Inbox Extender - allows you to mark all as read in email
Audio/Visual
TCPMP+plugins+flashvideobundle - as above, plays everything under the sun
RealOne Player - to stream BBC radio
Resco Pocket Radio - to stream other radio...
FlashPlayer ActiveX
Games
SPB Brain Evolution - not in to games...
Phone is getting to how I want it... sort of looking in to Textr (text threading) but heard there's a few issues with it (plus the trial won't work on my phone) so a bit wary.