Microsoft's DirectX Software Development Kit
GLUT for Win32
This is the OpenGL utility library
nVidia's Software Development Kit with plenty of examples and utilities.
SDL - Simple DirectMedia Layer
This is an easy to use SDK that support multimedia functions such as 2D graphics, audio, timing, etc
The FreeType Project
This open source programming library provides a small portable solution for rasterizing anti-aliased characters from fonts based on glyphs like TrueType or OpenType.
A free open source library that wraps both OpenGL and DirectX under one common interface. Many interesting tutorials, including shadow mapping with shaders.
Software 3D rendering library with capabilities almost completely compatible with DX9. Performance is similar to that of low end hardware. Before becoming SwiftShader, this was swShader and was an open source project. Unfortunately the project was bought and now requires a license to be used.
Cross-platform GUI programming library.
The GTS Library
Open source library that implements a lot of algorithms useful for 3D models. Examples: simplification, boolean operation between solids, converting to triangle strips, etc.
Particle Systems API
David K McAllister
Open source particle systems API, which seems to be very capable.