It rather depends on what I need to explore, but my own explorer's toolkit (with a probable unix bias) includes:
- for recording visual stuff: I most often use a camera, which allows screensnaps and brief audio+video without being platform-dependent. For screenshots, on a given platform, I use SnapzPro on Macintosh/OS X, and HyperSnap on Windows. I've been know to rig up a video camera to watch keystrokes and screen. I also use Mouseposé, which makes clicks obvious and shows keystrokes (including modifiers) in a big translucent bezel.
- an aside: I also use Mouseposé when I'm showing people what I'm doing, and even to help me get visual feedback on the buttons I'm pressing. Butterfingers = happy accidents.
- for tools that specifically help with recording manual exploratory testing (ie records keystrokes and timings, allows annotation of screen movies etc.), I've used SiriusSQA's TestExplorer and BlueBerry's BBTestAssistant. For my purposes, they're often a bit heavy and windows-centric, but you may find one or the other is just what you need. You can try them yourselves, as both have a great attitude to limited-use trials. Spector - the outrageously intrusive spy-software - was often put forward as an alternative before tester-oriented tools became available. It seems un-disruptive, and offers comprehensive monitoring, but I found it hard to use for testing. You may find the terms of the license prevent you from using it well in a test environment, and there are difficulties in saving the information you've captured. Finally, it's so very much oriented to sneaking on spouses and employees that having the license makes me feel slightly creepy myself.
- for recording what I do, I was pretty-much paper based until a couple of years ago. I now use a dual system, keeping most of my scribbles and diagrams on paper as an extension of my thought processes, but using OmniOutliner to keep track of bugs found, to put timestamps on observations, arrange stuff hierarchically / foldably, and to allow me to search my notes.
- for monitoring system activity, I use "top" on UNIX-based systems. I've recently discovered the joy of Process Explorer and perfmon (when I got the logging finally turned on) on windows. On the Mac, Activity Monitor is reasonable, but Instruments (a wrapper for DTrace) is for serious work. Crash monitors for specific applications/OSes are good, too, as is a knowledge of where the logs are hidden (and how to extract them).
- for looking at differences, I use unix/windows tools comm and diff. Unix tools can be introduced to windows environments with Cygwin, UnixtUtils or many others. You could also try kdiff, which is pretty comprehensive and runs on everything, or FileMerge (in xCode) on the Mac. It's good to know one's way around regular expressions, so here's a link to ilovejackdaniels' great Regular Expressions cheat sheet. If you need to do specific Windows Registry checks, Process Monitor and TestExplorer will help you out.
- for influencing system activity, it's got to be Holodeck - the freebie on the back of "how to break software security" is less buggy than the version on "how to break software", and (being free) is $$$ less than the retail version. Roll on the day when developers expect this sort of capability to be built into OSs.
- for input data, I often have a library of useful data about the place - large files, empty files, different sizes of different formats of picture, files that have meaning to something I'm testing (ie an Excel file for testing within MS Word). I sometimes use Bach's perlclip for creating data. I use Excel for creating test data to fit requirements, and load it into SQL tables with CSV
- for output data, I primarily use Excel for most parsing/analysis work - with a little bit of fiddling to get in amongst datasets that break Excel's 65K row limit. I very much prefer DataGraph for exploring datasets graphically. It's Mac-only, but IMHO worth buying a mac for.
- for automating , I use whatever's lying about at the client's site. Last time I bought a tool, it was Vermont High Test, so my licence is a bit out of date these days.
- for web testing, I push hard for Firefox to be within the browser gamut, and use FireBug. iMacros was in my toolkit for a while, and I wasn't over-familiar with it, but I've recently tried it out for loading web forms, and it's fine. The firefox version is still free (as in beer).
- for cross-browser testing, I use the free web service netrenderer if I've not got my kit with me. It opens a publicly-accessible web page in the browser of your choice, takes a screensnap, and shows it to you.
- for putting load into an app and measuring output (although not graphing it, because Excel's far better, and DataGraph better still), I use (cross-platform) JMeter. You might want to consider The Grinder.
- for emulators (dead handy), I've had great results with VirtualPC on PCs. The field is moving fast, and these days I'd look specifically at VMWare and Parallels. I've used Parallels on the Mac lots, but not for testing (yet).
I'm sure you use different tools. When I teach Exploratory Testing, the tools workshop is often most eye-opening in closed teams, where one person is often sitting on a tool whose use is immediately apparent to other participants - yet they've never shared their toolsets until the class. Try it yourself – I'd be fascinated to know what tools you use.
[Edited to include OmniOutliner, Mouseposé and to clarify the TextExplorer / BBTA entry]
[Edited to include netrenderer]