Keyword Country
This is my favorite which I use for every project I'm involved in. I've only been subscribed for two months but I won't be unsubscribing. If you're unsure you can subscribe for just a week or even a day to see how powerful it is first hand.

Overture Keyword Tool
A long time favorite of most webmasters, this tool allows you to enter any keyword or keyword phrase and in return it will give you a long list of variations of that phrase and the amount of times each was searched for across the Overture network for the previous month. This obviously does not include the searches on Google but you can normally times this number by anything between 2 and 8 depending on the market.

Wordtracker
The principle behind this tool is to help you find the keywords that will help you drive traffic to your website. But there's a further twist - what it really does is help you find the keywords that have a lot of searches but that your competitors aren't targetting, hence they will be much easier to optimize for. You can subscribe for a day, week, month or year. I often join up for a day, week or month depending on the project I'm doing. It's a useful in and out tool, as in I allocate some time to do this kind of research and subscribe for that period only.

Overture Bid Tool
Another popular tool from Overture that allows you to enter a keyword phrase and see how many advertisers are bidding on that phrase inside the Overture network and their max bid per click. It can help you choose which keywords you target (ie the more profitable ones) but It has it's limitations as it's the Overture and not Google network. The amount Adwords advertisers are bidding will inevitably differ although you would expect the market trends to be similar. I'd say this is more for fun - for real research I'd try Keyword Country.