I can't even begin to list all the apps that I like...plus its a very personal preference kinda thing...so I'll leave out some of the "games" and whatnots...
on ROMs...I've tried OMJ's, Fresh, Calkulin (loyal follower of his WinMo kitchens) Avalaunch's V and X series ROMs (think those are NOT as actively updated) Avalaunch's FroyoSense. I am currently running CM6 RC1 and continuously updating with the nightly builds that gets generated. If you are willing to leave Sense behind...Cyanogen Mod is the way to go...don't think you'll be disappointed.
Here are a list of useful utility type apps...I do believe that most of these will require root:
SetCPU - for overclocking and more importantly undervolting
Juice Defender - saves you "more" juice
Startup Cleaner - to keep "unwanted" and unused apps from starting up...and running in hte background
Touiteur - if you're a twitter guy
Dolphin Browser HD - a browser that is MOST like Firefox...tab browsing, extensions, full screen, desktop experience...you name it...its there
Astro File Manager - definitely a must have
Handcent messenger - a more robust sms/mms app
Clockwork ROM manager - easy to get to recovery...especially if you're going to root and flash ROMs later (when root is available for the OTA)
Tapatalk - mentioned earlier, gives you widgets to your fav forums
Beautiful Widgets - if you steer away from Sense
LauncherPRO and ADW launcher - both "Home" replacements if you're done with Sense
Titanium Back Up OR My Backup Pro - for backing up apps and data...there are pros and cons for each...but seems MOST favor Titanium
SlideIT - keyboard that resembles Swype if you can't get your hands on the Android Swype Beta.
Linpack for Android, Fps2D, Quadrant - measures your system performance on speed and graphical prowess
Task Manager (Apollo) - this one I use...even on Froyo since I like to have some control on whats on and what needs to be turned off. Some argue that Android (esp Froyo) has great task and memory management...to me...I think that's a personal preference.
if you're new to Android I suggest the following link to learn some more:
http://forum.xda-developers.com/showthread.php?t=694250
I'm learning that Android can me a LOT more involving than anything you might know from WinMo...its really how much you want to learn. Realize that the EVO's stock battery is a bit gimped...so getting an extended battery might be somethin to look into. As well as an external battery pack. I am using the Innocase for EVO by Seidio...but I think I'll be looking for another...since I'm not too happy with the fit of the Innocase (disappointing...esp from Seidio.)