Alexa The classic "web information company". Sporting a UI that hasn't changed for perhaps more than a decade, it is still a reliable source of traffic estimations for every major site on the net. A great fixture of their website which I love is a list of the 500 most trafficked website and is updated regularly.
Compete Although their free offering is lighter than Alexa on features, Compete has a stunning and easy to understand interface. I believe they were the first to allow searches for multiple queries at a time and to compare the results side-by-side. They also offer a host of paid solutions for advanced marketing insights.
Quantcast Their offering is a mashup of both Compete and Alexa, the emphasis here though is finding a specific audience rather than looking at generalizations and trends. More recently, Quantcast has morphed into an advertising platform that uses their tracking technology to refine targeting.
Google Trends This is useful for one very big reason - it shows you aggregate search volume of any keyword you choose, and you can compare to other keywords side-by-side. Here is the result for "bmw" vs "audi" vs "mercedes".
Google Ad Planner This is Google's version of Compete/Quantcast. One very noteworthy feature is "Sites also visited" which can indicate affinities and user behaviors. "Keywords searched for" is extremely accurate simply because Google has more global reach than any other search engine.
Grader A service of Hubspot, Grader gives insight into the construction of your onsite marketing funnel, SEO optimization, and even a Twitter ranking tool. It's a great tool to kickstart any onsite marketing initiative because the (free) feedback they can give you almost instantly is unmatched from what I have seen.
Topsy Analytics They does for social what Compete and Quantcast have done for the old school web. I haven't seen this kind of term real-time social search done anywhere else yet, it's useful and pretty cool. Here is the result for "bmw" vs "audi" vs "mercedes".
Forrester The company that defined market research is still one of the best. Their work can be dense, but it's always reliable and insightful.
eMarketer They focus on intelligence in the digital mediums, and they aggregate data from thousands of sources. It's also nice that much of their research is available at no cost.
Altimeter Group A boutique research firm from the Bay Area that focuses on digital and social. I've found their work to be on par with the other industry giants.
Do you know of any killer resource that should be on this list? Let me know in the comments.