Windows Vista Fonts
Add the Vista Fonts to your XP setup, and make your Desktop feel fresh and new again! There's an added bonus that Consolas is incredibly nice to code with as well. One of the clients that also benefits from this is the good old Notes client - update the default fonts to use the appropriate Vista choices and the thing looks positively modern (Thanks Sonic!).
Windows Vista Cursors
The Windows Aero cursor theme is very cool, especially the wait icon. Amazing how small subtle changes like that can make a difference. A quick file copy, a small registry hack, and you're away laughing with a nice smooth pulsing wait icon (Thanks Sonic!).
Launchy
After the previous 2 Windowsy things, Launchy is positively Maclike by comparison. Designed to emulate Quicksilver, it's an incredibly handy command line launching util. I've only been running it for a short time, but it's proving incredibly handy already. It's skinable (and comes with about 10 skins in it's package), and is configurable in terms of directories you wish to index, and even which filetypes. It wont be everyones cup of tea, but if you hate the start menu, and prefer command lines and keyboard shortcuts then check it out here.