Only Windows Live Messenger 9 (which is better than 8.5 anytime) has advertising and are locked with a single service.
Windows Live Writer is the best WYSIWYG/code desktop blogging software at its price point, and do not have any vendor tie-in (you can use it with a lot of blogging services like wordpress, typepad, blogger and of course live spaces and can upload videos straight to YouTube and Soapbox without visiting either sites). If you can suggest another alternative that is free and has as many features as Writer, feel free to write about it here. It is safe too, never heard about a remotely-exploitable priviledge escalation exploit bug that can be associated with this software.
Windows Live Mail allows you to use Hotmail without all those ads. Plus Gmail without those ads, Yahoo! Mail! if! you! are! insane! enough! to! pay! or any other POP/IMAP/NNTP accounts. Has calendaring too but Microsoft is smart enough not to allow this to connect to an AD server.
Then there is Live Gallery which is not that good compared to IrfanView of FastStone Image Viewer. But this software allows you to upload to Flickr and Live Spaces so not exactly vendor-locked to Microsoft services.
Live Toolbar is just as useful (or useless) as Google Toolbar/Yahoo Toolbar/Megaupload Toolbar etc. thus even I avoid installing it.