Windows Desktop Search is nearly a must-have for Outlook users. It indexes all your email--including the message body--and displays search results as you type. I have it installed at home but not work; I'll remedy that soon.
It can index your filesystem, too. By default as installed on Windows XP it indexes your My Documents folder. And not just the filenames; it can index the contents of many file types including Word documents, PDFs, EXIF data from digital images, zip file contents and more. You can also extend the types of files it can search.
However I have many file archives I don't particularly want indexed. I usually search these by right-clicking on a folder in Explorer and choosing Search. The new Windows Desktop Search pops up when you do that now. The old Seach Companion is still available, but you have to click a link in WDS when it tells you it doesn't have that folder indexed. I may give up and just let it index everything I might search as I've been running into this a lot lately.
WDS puts a search box on your task bar. That's somewhat handy, but that's valuable real estate as I keep a lot of windows open and use Quick Launch, so the search box leaves little space for my task buttons. I hid the search box, and now I can search with windows-F or by clicking on the WDS icon in the task tray.
WDS is available as a free download for Windows XP SP2 and Windows Server 2003 SP1. Vista ships with WDS.