For research, I use the following software:
Vim - all-purpose text editor with extensions for LaTeX, Ox, Python, gnuplot, html, ...
Ox - object-oriented matrix programming language with many useful open-source packages for econometricians, e.g. DPD (dynamic panel data) package by Arellano, Bond, and Doornik or SsfPack (state space models) by Doornik, Koopman, and Shephard.
Python - scripting language to prepare raw data for analysis (I have moved from Perl to Python w/o regret), matplotlib is its graphics library that allows for almost full control over its output
Sqlite - software library that implements a self-contained serverless SQL database engine; allows user a kaleidoscopic peek into a (large) dataset ahead of detailed econometric analysis
Dropbox - cloud-based file sharing
Mac software:
Alfred - search mac and internet,
Ipe - create (vector) graphs (easily imported in latex),
Iterm 2 - terminal,
MacTeX - latex distribution,
Skim - read and annotate scientific papers in PDF,
Skitch - take and annotate screenshots,
TextExpander - keystroke saver,
Time Out - break reminder