Google Adword Tool : This is one of my favorite tools as most of the time I have targeted keywords in Google. So it provides the keyword list, its competition and the no. of times that keywords has been searched on Google and its Search partner sites. This way you can see what keywords are more preferable to target.
Google Insight : When there is a requirement of making a comparison between two keywords in different countries, this tool would provide a detail comparison between two keywords and would also provide difference in search trends between them.
eBay Keyword Tool : When you are looking for product specific keywords, This tool would provide information of the keywords searched on eBay for specific keywords. If you want to research long tail keyword used by people for searching products with features, this tool is the best to use.