I have bought some tools on my own, but most of the time, it usually comes down to convincing the employers to purchase the tools. Sometimes it takes some patience and the ability to show the benefit of the tools to have my past employers open their wallets.
SQL Compare/Data Compare took us one major deploy using the trial copy to convince my last employer. When it took us 15 minutes to deploy vs. hours for the other groups, they agreed to the purchase.
We might now be able to bring along our own knives, but we can at least recommend the Wusthof over the Ginsu knife.
My toolset (that gets downloaded and/or purchased at new clients) includes the following:
SQL Compare (Comparing SQL database objects)
Beyond Compare (Comparing text and other files)
XML Marker (A generic XML viewer)
Cropper (Taking screen shots)
Fiddler (HTML/Web Debugging)
NLog (.NET Trapping/Error Messaging)
NUnit (.NET Testing framework)
I have architecture/performance optimization co-workers who swear by:
.Net Reflector (.NET decompiler)
.dotrace (trace and performance tracker)