This is be a tremendously subjective list of tools I consider necessary for a good Windows development environment. I personally spend most of my time working with younger companies and this list includes a whole bunch of tools targeted towards developers with a Unix background.
Whatever you do, keep in mind that the PowerShell is your friend. It's CMD on steroids and quite powerful - I heavily recommend it for everything.
Chocolatey NuGet is a Machine Package Manager, somewhat like apt-get, but built with Windows in mind. Need to install Git?
cinst git. Ruby?
cinst ruby. You get the idea.
If you're coming from a Unix machine, you might miss commands like
grep and many other. If Cygwin sounds like overkill, Gow is your friend - it's a collection of a 100+ famous Unix tools recompiled for Windows.
Sublime Text shouldn't need a description, but if you don't know it, it's probable the best small code editor out there.
Visual Studio is an amazing IDE - if you spent most of your past in Eclipse or VIM, you're in for a treat. If you're a member of BizSpark, the Microsoft startup program, you can get the Ultimate Edition of Visual Studio for free.
NuGet Package Manager
NuGet is the package manager for the Microsoft development platform including .NET and is the central repository for nearly all libraries, frameworks and extensions in the Windows world.
Really into VIM? This extension is a Vim Emulation layer for Visual Studio 2010 and above. It integrates the familiar key binding experience of Vim directly into Visual Studio's editor.
cins scriptcs and C# is suddenly a scripting language that you don't need to compile.
Building for Windows & Windows Phone
Windows 8.1 SDK
The Windows 8.1 SDK contains headers, libraries, and tools you can use when you create apps that run on Windows operating systems, ie Windows Store and desktop apps for Windows 8.1 as well as Windows 8, Windows 7, Windows Vista, Windows Server 2012, Windows Server 2008 R2, and Windows Server 2008. Also includes is the Windows App Certification Kit 3.3 (Windows ACK) to test your app for the Windows 7, Windows 8, Windows 8.1, and Windows 8.1 Phone certification program (required for store apps).
Windows Phone 8.1 Developer Tools
Since the main SDK for Windows Phone is part of Visual Studio, you'll be most interested in the 8.1 emulators package. The Windows Phone 8.1 Emulators package adds six emulator images to an existing installation of Visual Studio.
Building for the Web & the Cloud
Web Platform Installer
The Web Platform Installer is a simple portal allowing the quick & dirty installation of famous open-source web stuff, most notably Node.js, PHP, MySQL (and many other).
You know Node, right?
Bower is a package manager for front end projects and works by fetching and installing packages from all over, taking care of hunting, finding, downloading, and saving the stuff you’re looking for. Bower keeps track of these packages in a manifest file, bower.json. It requires Node and NPM.
npm install bower
Yo offers web application scaffolding, utilizing scaffolding templates we refer to as generators. You typically install yo and any generators you think you might use via npm.