Remote and virtual
Something I really like that I believe improves developer productivity is the integration with Windows of the Remote Desktop. It's great to be able to use different machines from the same physical location. I use it at home over WiFi and it works very well and allows me to work in a comfortable setting (don't feel like being at the desk? Move to the kitchen.)
Unix users are probably saying, what's the big deal, you've been able to do that with X Windows for a coons age? Remote Desktop seems to work a lot better than the older solutions (including Citrix, which I think it is based on) and you really can't tell the difference. X seems like it is slow when run remotely and VNC has some quirks that bug me from time to time.
Another thing that is a nice touch is the Virtual PC for Windows. Since machines today are powerful enough to run the operating system without breaking a sweat, why not run two or three? It is a great way to test applications on different versions of an OS or completely different operating systems. I've got Linux installed on my laptop without having to screw around with figuring out all of the settings that are particular for my hardware - the virtual machine provides a standard baseline emulated environment that is compatible with most things. Good stuff! Plus, if you screw something up in a configuration, you can just revert it right back. Very nice.