WinSCP - Free SFTP and FTP client for Windows. Supports custom commands.
Also available - WinSCP Portable
FileZilla - Free FTP client that runs on all major platforms. Supports transferring multiple files at the same time.
Also available - FileZilla Portable.
Also available - Putty Portable.
OpenVPN Community Downloads - Free VPN client for Windows. Linux and Macs generally come with clients built-in into their network managers.