Just a quick list of tools I like to keep on my USB drive:

Essentials

PStart to run all these apps from a menu
Unix Utils native Win32 ports of many *nix utilities
Notepad++ text editor, has a hex editor and runs with no install
Lua for putting together quick scripts
Portable Firefox for portable web browsing
7-Zip as it decompresses 7z, ZIP, RAR, GZIP, BZIP2, TAR and lots more
FlashFXP a great FTP client (warning: not free)
AVG Free provides good anti-virus, free for personal use
CPU-Z provides chipset and CPU info
Spybot Search & Destroy detects spyware
HijackThis detects spyware

gpg to keep the things encrypted that are not in a TrueCrypt volume

WinDirStat a graphical disk usage viewer

ImgBurn free CD / DVD / BluRay buring / imaging app.

WinDIFF
Split
Reshacker a resource editor that works with EXE files
TweakUI for XP to change some more subtle Windows XP settings

Remote Access

UltraVNC remote desktop access
PuTTY / PortaPuTTY SSH client
GAIM Portable for Messenger on the go

Network Tools

netcat
nmap
wget
WireShark installer
Apache Web Server never know when you need it!
TinyWeb web server no config needed!
SlimFTPd lightweight ftp daemon.

Languages / Compilers

ActiveState Perl
PHP
TCC Tiny C Compiler
NASM Assembler
OllyDbg always handy to have a debugger / disassembler!

TrueCrypt

Regmon, Filemon, Process Explorer from SysInternals, before the Microsoft buy out, before the appalling License Agreements were added to command line tools!

CD Images

SystemRescueCD Image
Ultimate Boot CD 4 Win (based on BartPE)
Memtest86 CD Image
Knoppix Image
DOS 6.22 ISO

Also check out:
portableapps.com
tinyapps.org

Games

OK, there's a few games too...
Doom 1 & 2
MAME with a few games
SNES9x

Private Docs In Encrypted Partition
Phone number for bank
Phone and account number for insurance

Watch out for USBDumper running on host PCs though...