Two more things not yet mentioned:
Not only is the MSDN library available for free online, but it can also be downloaded for free, in two flavours: 300MB express (core) version, or 2GB full version.
In addition to Microsoft's free Visual C# Express, there is also a complete, high quality, open source IDE for C#, VB.NET and Boo called #develop (or SharpDevelop). This has a number of features not present in VC#E, and vice versa.
