I like to play with apps, just to see what's out there, and hopefully find something useful. I agree with a lot of the apps that have been mentioned already, like...
Dropbox - great for syncing files between phone and computer. Sometimes I find apps online that I can't find in the Market. You can download them on your computer, drop them in your dropbox folder, then install from the dropbox app on your phone. No wires, no muss, no fuss.
GO Launcher EX - Used LauncherPro for awhile, tried the others, like the options and effects with this one.
Gas Buddy - find the cheapest gas, wherever you are.
Now, a few of my faves that I haven't seen mentioned (no, I haven't read all 20-something pages)...
AT&T Mark the Spot - Have AT&T? Then you have crappy service in 'some' areas. With this app, you click the problem - no service, dropped call, failed attempt, then the app gets a gps signal and sends a message back to the mothership. I have a lousy signal at home, especially in my basement, so I kept sending messages from home. About a month ago AT&T sent me a letter to come in and pick up a free MicroCell. It kind of looks like a router. You plug it into your wireless router, wait for things to sync up, and magically you now have 4-5 bars. I just used it deep in the woods where I normally get no signal. Had a 45 minute conversation, the other person said it was crystal clear.
Geocaching - syncs up with geocaching.com. Turn it on and it will find your location with gps and show you all the nearby caches. You'd be surprised, even in cities people have hidden things. The app will then show you maps, compasses and directions to help you find them. I like to use it when I'm deep in the woods (see above) to find hidden treasures. It gets you back into places you never would discover on your own, and sometimes learn a little bit about the history of the area.
GrooVe IP - I saw a mention of sipdroid earlier. I've never used that, but from what I've read this is w-a-y easier to use. You need a gmail account, then use that to get google voice. Download this app and you can now make and receive calls over wifi and 3g/4g. Why would you want to do that? For one thing, you don't use any cell minutes. Also, if you're in an area with poor cell coverage, but you have wifi coverage. I had that problem in the woods before I got my Microcell. How about in stores? I can never get a signal in those metal-roof monstrosities, but a lot of store are starting to offer wifi. And here's the best reason - Do you ever travel out of the country? When I do, I shut off my phone so I don't get hit with ridiculous charges. So no communication, and NO INTERNET! Now, I just put my phone into Airplane Mode so I don't have a data connection, then go into the settings and turn on wifi. In my hotel, in a coffee shop, anywhere there's wifi, I can now make and receive calls, as well as surf the net. For free. You can call a US or Canada number from anywhere in the world for free. Get a google voice number for a friend in a foreign country and you can talk to them for free, too. I read that soldiers in places like Afghanistan are using it to call home. The app is $3.99, but it's currently on sale on Amazon for $1.99.
NoLED - if your phone doesn't have LEDs to tell you about missed calls, VMs, etc, like my Samsung Captivate, this will put floating icons on your phone when the screen is off.
Open Table - make dinner reservations at hundreds of restaurants around the world. You can even use the app to cancel them up to 1 hour before the reservation. They have a website where you can do this as well.
Redbox - find a movie you want to see, put in your zipcode, and it will tell you which boxes have it. Reserve it, and it will be waiting for you when you get there.
Square - accept credit cards on your phone!! Sign up for a free account, and they'll send you a little dongle (no charge) that plugs into your headphone jack. At a restaurant and your friend wants you to pay because he doesn't have cash? Swipe his card! Selling something at a garage sale? You accept credit cards. They charge something like 3% per transaction, but there's no monthly fees or anything like that. Good to have for emergencies, and it costs you nothing unless you use it.
Worldmate - (also TripIt) - great for travelers. Keeps your itinerary on your phone. Forward your confirmation emails to their email address and they'll appear on your phone. (If you use Gmail, TripIt will pick up your confirmation emails automatically.) Dates, places, reservation numbers. They'll even popup reminders on the day of your flights. I got off a plane and was walking down the ramp when my phone beeped and told me that the gate of my connection had just been changed. I was the only one in our group who knew.
Lookout - anti bad stuff. Will check your phone for viruses and such, checks each download to make sure it's safe. Can't find your phone? Get on their web site and they'll make your phone scream!
K-9 Mail - the best email app I've found. Handles my multiple Gmail and Yahoo mail accounts with ease.
I have lots more, like Remote Notifier, Time Mobile, WebMD, WiFi Analyzer, Phone Silencer, World Newspapers and Point Inside. Check 'em out!