A lot of good suggestions so far.
I would add the following
GExperts - IDE Integrated tools
www.gexperts.org
ModelMaker Code Explorer - Great for additional refactoring amongst many other things
http://www.modelmakertools.com/
CodeSite - Great debugging tool http://www.raize.com/DevTools/CodeSite/Default.asp
VirtualTreeview - Good Free Tree component once you get your head around how it works
http://www.delphi-gems.com/index.php?option=com_content&task=view&id=12&Itemid=38
I have to agree that FinalBuilder and MadExcept are both essentials as far as I am concerned.
There are also many great component suites around, TMS, DevExpress, etc..