I noticed in another post HopeDagger mentioned a list of Engines so I'll post all of my favorite engines and tools
(Free) Irrlicht - http://irrlicht.sourceforge.net/ -an Open source 3D engine, very fast, very easy to use.
(Free) Ogre - http://www.ogre3d.org/ - My favorite of free 3D engines, another free open source engine, it has a great community, and a really cool resource managment system! It also has a great Particle editor!
(Free) Crystal Space - http://www.crystalspace3d.org/ - A powerful 3D game engine with a rather large community following.
(Free) Delta 3D - http://www.delta3d.org - This is an open-source 3D gaming and simulation engine. It's free to use it any way you wish, and is designed to easily work with any other open-source programming project.
(Free) Panda 3D - http://www.panda3d.org - This is the same engine that was used to create Disney's ToonTown. Disney then threw into the open-source ring. You can now download it for free to use in whatever you like. It has both Python and C++ bindings, supposedly the Python ones are almost as fast as the C++ ones.
(Free for Windows/Linux) Q Developer Network - http://qdn.qubesoft.com/index.php?main=home - This engine is cross-platform, but for the free version it can only be made for Windows and Linux. If you pay money, you can get it on OSX, FreeBSD, PS2, and Xbox. Other than the engine, it also comes with a pretty easy to use WYSIWYG scene editing tool.
(Free) The Nebula Device - http://www.nebuladevice.org/ - This is is open-source, multiplatform, and has API's and libraries to couple it with just abouty any scripting or programming language. Their idea is to make things simple, sweet, and powerful. Each release has shorter more efficient code than the last.
Torque - http://www.garagegames.com - Torque costs $100 for a license, but is a very powerful and extremely popular game development engine/system. Many commercial games (remember Tribes?) were made using this.
(Free) JMonkey Engine - http://www.jmonkeyengine.com/ - Open Source Java-Based Game Engine.
(Free) ClanLib - http://clanlib.org - Relatively new and very promising open-source game engine.
(Free) OpenAL - http://www.openal.org/ - Open-source audio library made in the same syntactical style as OpenGL.
(Free for Non-Commercial Use) FMod - http://www.fmod.org/ - Powerful and popular audio library. Very stable and plenty of functionality.
(Free) CEGUI - http://www.cegui.org.uk - A slightly complex but very flexible User Interface library (used by the OGRE3D graphics engine, too!)
(Free) ODE - http://www.ode.org/ - A free, open-source physics library.
(Free) Newton Dynamics - http://www.newtondynamics.com - A free (and powerful!) physics library with a fairly easy-to-use API.
(Free) OPAL - http://opal.sourceforge.net - A free, open-source physics library wrapper library, that makes physics integration easy on a high-level. Currently only wraps ODE.
(Free) Tokamak Physics - http://www.tokamakphysics.com/ - A physics SDK that now offers version 1 as free for all commercial/non-commercial uses.
RakNet - www.rakkarsoft.com - A powerful, high-level networking library that has recently left the realm of free software.
(Free?) Elysium Source - http://www.splamm.com/elysium/ - Open source 2D MMORPG engine made in Visual Basic 6. A great place to start out game devving.
(Free) Eclipse - http://www.freemmorpgmaker.com/index.php Free 2D ORPG engine.
(Free) XiloEngine - http://xilonengine.net/ Free 2D engine, written in VB.
Maya - http://www.autodesk.com/maya - Expensive, but professional 3D modeling tool.
Milkshape 3D - http://www.swissquake.ch/chumbalum-soft/ - Cheaper alternative to Maya, no where near as good at Texturing and Animation. (~$25)
fragMotion - http://www.fragmosoft.com/ - Havent used it to model but its great at Animation!
Ultimate Unwrap - http://www.unwrap3d.com/ - In my opinion the easiest to use UV mapper allowing you to texture many different model formats easily.
Adobe Photoshop - Possibly the most infamous and powerful 2D image editor on the market. Not free, however.
Jasc Paint Shop Pro - Rivaling Photoshop; yet another great 2D editor
(Free) The GIMP - http://www.gimp.org/ - a free image editor, said to rival both Paint Shop Pro and Photoshop, although known for it's, ah, 'unique' interface. :P
(Free) Blender - http://www.blender3d.org - This is an open-source 3d modelling program it has an intuitive interface and can make super high quality stuff. Free!
(Free?) Texporter - http://www.cuneytozdas.com/software/3dsmax/ - This is a plugin for 3DS Max that basically does what Ultimate Unwrap does.
(Free) Audacity - http://audacity.sourceforge.net - An open-source audio editing progam. It's easy to use and available on many, many platforms. Highly recommended.
(Free) Wings3D - http://www.wings3d.com/ - A free subdivision modeler.
(Free) LithUnwrap - http://www.geocities.com/lithunwrap/?20095 - A free texture mapper.
(Semi-Free) UVMapper - http://www.uvmapper.com/ - Another piece of texture mapping software.
Wikipedia also has a list of fear game engines, if you want more. http://en.wikipedia.org/wiki/Category:Free_game_engines
(List maintained by Tocs1001* and HopeDagger* and Eriond)
* No longer updating.