Development studio for XNA Development. Free.
The latest DirectX runtime. Needed for developing the XNA Game Studio Express. Not needed if you plan on downloading the full DirectX SDK. Free.
The latest DirectX SDK. Needed for manipulating and creating audio files with XACT in XNA Game Studio Express. Free.
The development studio for creating games using the XNA framework. Free.
Used for creating and modifying images. This is the tool to have when you can't afford Photoshop. Without GIMP, I would be lost. Free.
Used for creating and modifying images. Highly recommended by those that do not like GIMP. Free.
Sound effects are a pain to find online. Head down to your local CompUSA and pick up this collection of sound effects at a very reasonable price. ~$4.99.