Wordtracker Keywords – Super fast online tool for assessing the competitiveness of various keywords, to find possible target segments.
Market Samurai – Cheaper (but slower) desktop alternative to Wordtracker Keywords, also includes Rank Checker and other marketing tools.
SEOMoz– The best overall tool for figuring out how easy it will be to get to the top of the search results for a range of possible terms. Strongly recommended!
OpenSiteExplorer – Free stats provided by SEOMoz, useful for getting a snapshot of a page’s competitiveness (but very limited compared to SEOMoz)
SEO Spyglass – The best package for analysing in detail every inbound link that a competitor’s page has (or your own!)