SolidWorks:
A CAD program often used in colleges and some companies. It is very user-friendly, while still having a fair amount of detailed control over designs. Packages come with more analysis and animation software, so you can simulate flow and kinematic motion, as well as analyze stresses and the like. I've found though that the Finite Element Analysis package has some issues that make it very difficult to use. You would be better off with ANSYS or something like that.
You can get a copy of the SolidWorks student edition free at the link below. It is only active for a year, but you can continue to get a new one every year during college. SolidWorks usually produces a new program yearly anyway, so it's nice to get the most updated version. The one annoying feature though is that the files are not backwards-compatible. You can important old version files into a new version, but not vice-versa.
http://www.solidworks.com/sw/products/student-software-3d-mcad.htm
Gintable is right - SolidWorks, Autodesk Inventor, and a few other CAD programs are very similar (not Pro/E though). It would be best to learn the one used at your school.
Pro/Engineer
An extremely powerful CAD program used very commonly in the industry. Pro/E is quite a bit more complicated to learn than SolidWorks, so it would be recommended to learn that (or Autodesk) to get down the basics of CAD before attempting Pro/E. Pro/E allows for basically absolute control over design, and often requires specification of constraints and other design features that are assumed in other CAD programs. This avoids the difficulty of the program assuming something you don't want it to do, but adds to the complexity of making a part.
The interface is quite difficult since many of the menus are text based (not intuitive). Even shortcut controls are not obvious, although once known, you can get used to them pretty fast. The only reason I recommend this program is that it is used so often in companies that it would be a great skill to have (more attractive for hiring, qualify for more positions).
Here is a link for a free student edition (I don't believe this product expires at all):
http://www.ptc.com/appserver/mkt/educational/program.jsp?&im_dbkey=86793
ANSYS:
A Finite Element Analysis software package that contains a wide range of functionality. It can calculate strains and stresses throughout parts based on forces. It can simulate flows and calculate important values there (maybe through an extra toolbox called ComSol). I have only just started learning ANSYS, so I can only tell you about a few of its capabilities.
ANSYS is very powerful, but like Pro/E, it is not very intuitive at all. Even simple static force analysis for a beginner takes a couple weeks of running through tutorials and fiddling with options to get all the necessary data. Many menus are text based or otherwise non-intuitive, so the only reason I am recommending it is because of its powerful capabilities and use in industry.
Here's a link to the newest product. I think the new ones are supposed to be more user-friendly.
http://www.ansys.com/products/workbench/default.asp
Here's a link to a cheaper old version. I heard you could get version 5.4 or something like that for free, but since it's up to version 12 now, I can't imagine how bad 5.4 would be.
http://www.ansys.com/products/ed.asp
MATLAB:
A high-level programming environment that is often used in universities in Mechanical Engineering classes. It is fairly simple to learn, and the syntax is much more forgiving than C or Java, but the program is also very powerful. Its capabilities include simple computation and execution, efficient matrix math, symbolic calculations, simulation, differential equation solving, and a bunch more. It comes with several toolboxes that can be used for a variety of purposes as well. Link to site below.
http://www.mathworks.com/products/matlab/