PuTTY is a free, GUI terminal emulator for Windows that supports the SSH, Telnet and Rlogin protocols. It has also been ported to Linux/x86. It basically works on any *NIX. A port for Windows NT/Alpha is in the make.
PuTTY itself does not support secure file transfer tools such as SFTP and SCP. There are however command-line tools for both SFTP and SCP by the authors of PuTTY, such as 'psftp' and 'pscp'. See the PuTTY homepage. Various 3rd party frontends for these command-line tools exist.
Use as a Proxy
PuTTY can be set up in a similar manner to corkscrew to allow you to SSH over an HTTPS proxy. This setup can be used for both running SSH clients as well as doing HTTP requests to a remote proxy server to avoid being logged by the nearby firewall.
Kerberos / GSSAPI support
A modified version of PuTTY supporting GSSAPI/Kerberos authentication using the Windows desktop login credentials (SSPI) is available from Quest Software under the same license as PuTTY. (PuTTY svn releases also support this.) This allows login to Kerberized servers such as OpenSSH without having to re-enter passwords or usernames.