There is always some nifty gadget popping up on the web that I think I would need someday. Nothing is more frustrating than seeing something cool, deciding to pass, then needing it soon thereafter. It seems to happen on every shoot I go on, so I peruse several tool blogs looking for goodies that may come in handy. Many times I'll find stuff that may not be intended for filmmakers, but that apply anyway.
My last short film (Middle of Nowhere) was set at night, so I had several overnight shoots. Light was tough to come by sometimes, and I kept wishing I had some portable lamps to pass around. On Toolmonger, I came across a link to some cheap LED lights that would have come in real handy. They are aluminum, last 24 hours on 3 AA batteries, and only cost $6 a pair. Need some futuristic-looking prop lights for your sci-fi flick? These would do quite nicely as well.
Shooting in the field and need some more outlets? Cool Tools has a great solution to attach at the end of your 100' extension cord. It's called the Yellow Jacket 5 Outlet Adapter. It's spaced enough to allow multiple 'wall warts', can be daisy-chained together, is fairly compact, has cord locks, and only costs $7.29!
Sooner or later, you're going to need to strip a wire or two. Whether you are making some speaker cables for your editing setup or just need to reattach a plug on a frayed cord, wire strippers are a must. You probably already have a cheap pair that you picked up somewhere for free. Use these automatic strippers found at Rat Shack, and you'll never have to guess your wire size again (not to mention messing up and ending up with a shorter wire than you wanted). Very handy. Toolmonger has a tutorial on a similar (and more expensive) pair here.
These are all worthwhile buys. Even if you bought them all, you'd only be out $30--not bad for any movie-making cheapskate.