Ubuntu is a complete Linux-based operating system, I am playing with it now. The Ubuntu Forum is very helpful for beginners like me.
Latex is the most popular typesetting system, I use it for slides and articles. I use WinEdt in Windows and Kile in Linux as the TeX editor.
FireZilla is a fast and reliable FTP client and server with lots of useful features and an intuitive interface.
SciTE is a SCIntilla based Text Editor for Windows.
OpenOffice a great substitute for Microsoft Office.
Firefox is the BEST internet browser around, heaps of addons and features. I don't understand why people still use IE.
Thunderbird is a small email program, again heaps of addons and features.
Computational software:
Matlab is the most powerful higher level matrix programming language. Professional version is very expensive but the student version is not so bad.
Gauss is the most popular higher level matrix programming package among economists. Powerful and very efficient though it does not have as many build-in functions (or procedures) as Matlab.
JMulTi is a simple open source software for Time Series Analysis written in Java. A friend highly recommends this to me, the most important is it's free.
GemPack is a suite of general-purpose economic modelling software especially suitable for general and partial equilibrium models. It can handle a wide range of economic behaviour, written by Monash University. My friend Arief Yusuf, also a PhD student in RSPAS, is an expert with it, email him here.
Useful code:
Frank Schorfheide has a good selection of code written in Gauss for simulating and estimating DSGE using Bayesian methods.
DYNARE: A set program for the simulation of rational expectation models. Can be used in conjunction with Matlab, Gauss and Scilab.
Thomas Sargent has a very good set of Matlab programs that accompanies his forthcoming book "Recursive Models of Dynamic Linear Economies" by Hansen and Sargent.