Google External Keyword Tool - keyword research
Semrush - competition research
Aaron Wall's SEO for FireFox plugin - details on your competition right in SE result pages

Search Status plugin for FireFox - shows PR and Alexa TR on every page. gives access to indexed pages, backlinks stats, whois etc.
SenSEO plugin for FireFox - express SEO audit - HTML validator

Webceo - rankings, backlinks
Google Analytics - traffic stats, ROI analysis