Astra File Manager is another good one, although since I can't figure out how to get Windows sharing working I use EStrong as it has FTP support and my computer is running an FTP server. Yep, I can install and configure an FTP server but not Windows Sharing. WTF.
Also (developer name in brackets if the app has a common name):
Netcounter - like 3G Watchdog, by the sounds of it. Monitors your usage by Wifi and Cell and breaks down each into daily/weekly/monthly/total usage.
Kreac Calculator - a more advanced calculator than the default, but not a hugely detailed scientific calculator (which I find to be excessive, but try the not-aptly named Handy Calc if you want more).
Compass (by Snaptic) - a compass. Who'd have guessed eh?! Optionally also uses GPS to determine direction.
RMaps - Offline maps, virtually essential if you're roaming. Getting the hang of downloading the actual maps takes a bit, maybe Lekky should do a guide
ConnectBot/
Ping (ilMobile)/
Whois (Magma) - I'm grouping these as they're all useful if you're an internet professional/geek and all useless if you're not. ConnectBot is a Telnet/SSH client, the others are self explanatory (if they're not, then you'll have no interest in them!)
beebPlayer - unofficial BBC iPlayer client. I find it's a bit slow but then my net connection sucks. Possibly unusable outside the UK.
Shazam - determines what song is currently being played, I can only assume it uses witchcraft.
Gallery/
Navigation/
Voice Search - some features from other Android devices that aren't available on the Desire.
Until now.
Apps Organizer - if, like me, your Apps list is clogged, you can set up home screen folders with this.
CalWidget - a very customisable calendar widget.
I was going to point you to Lekky's guide but
someone already mentioned it
I hope he'll update it soon for 2.1, perhaps when we GET COPY PROTECTED APPS. Gah!
r1984 - many apps, particularly paid ones, have copy protection (DRM) and the Desire doesn't presently list these - which means we're not seeing many apps (I've no idea exactly how many but I'd guess a couple of thousand!). It also means there's about half a dozen apps I bought on my Hero which I currently can't access. Not cool!