Stuff that I've been using, which makes life more pleasant..
SPB Pocket Plus
Today screen plugin with a launch bar and status graphs (battery, storage, etc). Also close-button overlay that allows you to change the behaviour for apps: by default, it will /close/ the app, even if the app's default behaviour is to minimize (IE, for example). You can set exceptions. Also, you can get a menu from the close button, that lists all open apps, lets you switch to them or close them, etc. It also adds support for multiple IE windows, Safe mode booting, and various other things.
It also comes with some good themes I liked.
Turns your volume control into a scroll control, the left soft-key (when held down) into Start Menu access, and the right (again, held) into 'OK'. Configurable by editing an INI file, which is kinda annoying. But it does the job.
Multi-network IM client. Having to use separate MSN and Everything-Else clients was annoying, plus the UI for the everything-else client was crap. This is better. And has a nice Today plugin.
Mozilla, for pocket PC. Very beta, but google maps /will/ load in it. Barely.
Ties to your NewsGator account, so you can read your RSS feeds on your phone. My copy of the beta client expired, but it was nice while it worked. Hopefully they'll release a final version soon.
Resco Pocket Radio
Streaming audio player. Decent enough interface, much less annoying than using IE and Windows Media Player. I haven't actually paid for it, and my trial has expired, but if I used it more often, it'd definitely be worth the $20.
The Core Pocket Media Player
Plays all kinda formats.
File explorer, registry editor, text editor, all in one. I paid for a registry editor before I found this, and wish I hadn't.
Virtual Earth Mobile
A guy on the windows mobile team put it together, apparently. It accesses microsoft's Virtual Earth. Good sat maps. Some GPS integration (single-shot update, rather than continual). Some route finding, iirc.
The Missing Sync for Windows Mobile 2.5
FINALLY they finished it. Sync iLife etc with your WM5 device. Supports bluetooth sync.
Seems to work well enough so far. I had some initial annoyances with address book sync - make sure your phone numbers are in a format the phone likes (it will NOT, for example, properly dial 206/851-3915, which is my preferred format. It just dials the '206'. Stupid windows. I ended up exporting my entire address book to vcard format, running it thru perl to reformat the numbers, then re-importing to address book). Make sure you back up iCal, Address Book, and your phone first.