Open Source Software
There are tens of thousands of free applications that run on Linux. Most distributions come with a several thousand pieces of software these days, everything from office suites to games, and practically everything in between. Rarely does anyone have to purchase software for use with Linux.
Open source has a side benefit, as well: in the Windows world, many people resort to using pirated software or "warez", which quite often contains viruses, trojans and other embedded malware. Linux users have thousands upon thousands of programs to choose from that are not tainted by piracy nor by malicious code, and much of this secure, peer-reviewed free software is kept and maintained by their authors in repositories such as the ones listed below. As stated above, quite often the application you need has been bundled with your distribution — you only need to pop in you Linux CDs and install from that.
Specific projects of note