File Explorer to cmd
Open File Explorer and navigate to any directory. Click into the address bar, type "cmd", and press Enter. A command prompt window will open at that location (source).
cmd to File Explorer
Conversely, open a command prompt window and type "start .". A File Explorer window will open to whatever your current directory is (source).
cmd and F7
Press F7 at a command prompt to display a selectable command history. It doesn't work well for really long commands, but for shorter ones it works great (source).
Copy as path
In File Explorer, hold Shift while right-clicking a file. This makes a "Copy as path" option available on the context menu. Clicking this will copy the file's absolute path to the clipboard (source).
Copy text in dialog boxes
It is possible to copy the text in a dialog box, even if you can't highlight it! This is great for extracting error messages so you can Google them. Simply click on the dialog box to make sure it has focus, then press Ctrl+C. In my testing, this didn't work with Microsoft Office dialog boxes, so it may not work everywhere (source).
For example, below is the pasted content from a Notepad dialog box.
[Window Title]Screenshots of windows
Notepad
[Main Instruction]
Do you want to save changes to Untitled?
[Save] [Don't Save] [Cancel]
If you're not using any third-party screenshot tools, pressing Alt+PrtScn copies a screenshot of the currently active window to the clipboard. No more having to crop full-screen screenshots with Paint (source)!
And here are a couple tips of my own:
Desktop keyboard shortcuts
It's possible to assign keyboard shortcuts to desktop icons. Right-click on the icon and click "Properties". Click into the "Shortcut key" field and type a letter. The shortcut will now be Ctrl+Alt+whatever letter you typed.
Show Desktop
I use this one all the time. Pressing Win+D hides all of your windows so you can see the desktop. Useful!
Emoji keyboard
Last but not least: While inside a textbox, pressing Win+. (Windows key + period key) to open an emoji keyboard.