I'm kind of surprised no one has mentioned GeekTool. I use it to display my to do list and the current time on my desktop. Here's a quick list of some of my other favorite free Mac apps:
Quicksilver - Everyone else has explained this app much better than I can.
BowTie - Simple, lightweight, skinable iTunes now playing display.
Tweetie - My current twitter client. Yes, there is a paid version, but the ad-supported free version is still just as good.
iStat Menus - Lets me...