I consider a poker tracking software the most essential piece of 3rd party software. I use PT3 (because it seems to be the only such software compatible with Mac), but I hear a lot of good things about HEM, so if you don't use Mac you might want to check that out instead. I would get this before anything else; I can't imagine playing online poker seriously without it. It's not just (or even primarily) useful for the real-time HUD, but also for reviewing hands, spotting leaks, and objectively (i.e. quantitatively) gauging your long-term performance. I'm not aware of free alternatives that are on the level of PT3 or HEM.
In addition, I like to have an equity calculator like Poker Stove around.
If you play a lot of sit 'n' goes, an ICM tool like SNG Wizard is practically a must. (I'd have it if it weren't for the Mac)