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What I'm running on my laptop:
   Windows XP with Xubuntu in a virtual machine. I find that using a lightweight Linux distribution in a virtual machine lets you connect remotely to Linux machines at roughly the same speed as if you were to use a remote GUI package such as Cygwin or X-32.  Mac OSX

Useful programs that you can download for free:



Firefox Great web browser. The ad-block extension alone is worth the switch from IE.
MS Virtual Desktop Manager From windows power toys, gives you the multi-desktop workspace that Linux and Unix users like.
ActivePerl PERL interpreter for windows.
Notepad++ Nice, lightweight code editor.
Free Download Manager Great download manager. Get this, then get FlashGot extension for Firefox, you'll have a powerful combination.
ObjectDock A windows version of the Mac toolbar that most people like.
vmware player A virtual machine for windows
   

Good links:

sourceforge sourceforge.net -- free/open software projects site
Freshmeat freshmeat.net -- another free software site
lxrlinux lxr.linux.no -- browse the Linux kernel source
   
   

I'll put up links, and some more stuff later. Until then, you can search for these programs on download.com

 

Humor:

There's a great comic series online called "PhD Comics." It's pretty funny, especially if you're an engineering or computer science major. It's a satirical look at the "dark side" of grad school.

Here are some of my favorite strips:

I recommend visiting their website, they have hundreds of these strips online.

This is an inside joke for machine learning people who are also internet geeks. It is outrageously funny to the very small group of people who get it.

This picture of Dr. Vapnik was taken by Prof. Yann LeCun and can be found on his website. I had thought it was photoshopped until I met Prof. LeCun at a conference and he told me that it was a real photograph.


Interesting
links:

CIA - The World Factbook Mini-encyclopedias of information for every country on the planet.
HowStuffWorks   Learn how everything works.
Project Gutenberg   Download all the well known literary works in text form, FREE.
Snopes   Site dedicated to debunking or confirming urban legends.
FBI - Uniform Crime Reports   Crime statistics.
UVA: The Oracle of Bacon   Hilarious site. Find the degree of separation between any Hollywood actor and Kevin Bacon.
Army Field Manuals   Download any army field manual.
Federation of American Scientists   Lots of information on military technology for both US and rest of the world.
FACETS   Facts About Columbia Essentials To Students.
MathWorld   Detailed explanations for every math term in existence.
Wikipedia   Worlds largest encyclopedia, anyone can edit an article. Good starting place for research on any topic.
Guinness World Records   Guinness records online.
Fark.com   Great site, dedicated to collecting humorous news articles from around the world.
PhD Comics   Funny comic series about graduate school.
SourceForge   A large collection of open source software, Windows and Linux.