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ZDT is a great tool for studying Chinese vocabulary. Look at the Programs.ZDT page for more info.
StarDict is a free/open source dictionary program available for Windows or Linux. On it's website you can find a lot of dictionaries to load into it, for instance English-Chinese/Chinese-English but also Chinese-Chinese and many other languages.
One of the great features of StarDict is its "scan mode". When this is activated then every time you select something with your mouse, a pop-up will come up with any translations it could find. This is extremely handy when reading a text where you know many but not all characters/words.
With Hanzi Master you pick a character and it will show you separate lists with compound words using the character, characters with the same sound, the same radical or with the same non-radical part. This is a great way to learn how the whole character system fits together.
Hanzi Master is available for Mac OS X and Windows for a license fee. An older, unsupported version was released open source for GNU/Linux and is available through Debian.
DimSum is an excellent Chinese learning tool. It has a translator, dictionary and flashcard utilities all built into one software suite. It runs on almost most platforms because it is written in Java. The most useful part is the translator utility. Browse complete Chinese websites and be able to read Pinyin translations! There are also many other little fun and useful utilities built in. Highly recommended.