Microsoft has actually done a good job with their Paint application (for once!) but Paint.NET takes it a step further and really gives you a world class app. for FREE. The layers is a really cool feature that makes it a lot more useful than Paint and (as osaf mentioned) not as heavy weight as photoshop.

MS Paint has always been the only option between itself and Photoshop.

But Paint.NET tries to bridge this gap by bringing an application (in MS .NET) that provides a multitude of features not present in most Windows image editors and which is easy to work with too.

Features like Layers, unlimited history of actions on the image etc. make it really powerful too.

http://open-source.onestop.net/2005/09/paintnet.html