Here is a list of commands you can execute from the Run command prompt in XP:

Accessibility Controls

access.cpl

Add Hardware Wizard

hdwwiz.cpl

Add/Remove Programs

appwiz.cpl

Administrative Tools

certmgr.msc

Character Map

charmap

Check Disk Utility

chkdsk

Clipboard Viewer

clipbrd

Command Prompt

cmd

Component Services

dcomcnfg

Computer Management

compmgmt.msc

Date and Time Properties

timedate.cpl

DDE Shares

ddeshare

Device Manager

devmgmt.msc

Direct X Control Panel (If Installed)

directx.cpl

Direct X Troubleshooter

dxdiag

Disk Cleanup Utility

cleanmgr

Disk Defragment

dfrg.msc

Disk Management

diskmgmt.msc

Disk Partition Manager

diskpart

Display Properties

control desktop

Display Properties

desk.cpl

Display Properties (w/Appearance Tab Preselected)

control color

Dr. Watson System Troubleshooting Utility

d rwtsn32

Driver Verifier Utility

verifier

Event Viewer

eventvwr.msc

File Signature Verification Tool

sigverif

Findfast

findfast.cpl

Folders Properties

control folders

Fonts

control fonts

Fonts Folder

fonts

Free Cell Card Game

freecell

Game Controllers

joy.cpl

Group Policy Editor (XP Prof)

gpedit.msc

Hearts Card Game

mshearts

Iexpress Wizard

iexpress

Indexing Service

ciadv.msc

Internet Properties

inetcpl.cpl

IP Configuration (Display Connection Configuration)

ipconfig /all

IP Configuration (Display DNS Cache Contents)

ipconfig /displaydns

IP Configuration (Delete DNS Cache Contents)

ipconfig /flushdns

IP Configuration (Release All Connections)

ipconfig /release

IP Configuration (Renew All Connections)

ipconfig /renew

IP Configuration (Refreshes DHCP & Re-Registers DNS)

ipconfig /registerdns

IP Configuration (Display DHCP Class ID)

ipconfig /showclassid

IP Configuration (Modifies DHCP Class ID)

ipconfig /setclassid

Java Control Panel (If Installed)

javaws

Keyboard Properties

control keyboard

Local Security Settings

secpol.msc

Local Users and Groups

lusrmgr.msc

Logs You Out Of Windows

logoff

Microsoft Chat

winchat

Minesweeper Game

winmine

Mouse Properties

control mouse

Mouse Properties

main.cpl

Netstat

netstat

Network Connections

control netconnections

Network Connections

ncpa.cpl

Network Setup Wizard

netsetup.cpl

Notepad

notepad

Nview Desktop Manager (If Installed)

nvtuicpl.cpl

Object Packager

packager

ODBC Data Source Administrator

odbccp32.cpl

On Screen Keyboard

osk

Opens AC3 Filter (If Installed)

ac3filter.cpl

Password Properties

password.cpl

Performance Monitor

perfmon.msc

Performance Monitor

perfmon

Phone and Modem Options

telephon.cpl

Power Configuration

powercfg.cpl

Printers and Faxes

control printers

Printers Folder

printers

Private Character Editor

eudcedit

Quicktime (If Installed)

QuickTime.cpl

Regional Settings

intl.cpl

Registry Editor

regedit

Remote Desktop

mstsc

Removable Storage

ntmsmgr.msc

Removable Storage Operator Requests

ntmsoprq.msc

Resultant Set of Policy (XP Prof)

rsop.msc

Scanners and Cameras

sticpl.cpl

Scheduled Tasks

control schedtasks

Security Center

wscui.cpl

Services

services.msc

Shared Folders

fsmgmt.msc

Shuts Down Windows

shutdown

Sounds and Audio

mmsys.cpl

Spider Solitare Card Game

spider

SQL Client Configuration

cliconfg

System Configuration Editor

sysedit

System Configuration Utility

msconfig

System File Checker Utility (Scan Immediately)

sfc /scannow

System File Checker Utility (Scan Once At Next Boot)

sfc /scanonce

System File Checker Utility (Scan On Every Boot)

sfc /scanboot

System File Checker Utility (Return to Default Setting)

sfc /revert

System File Checker Utility (Purge File Cache)

sfc /purgecache

System File Checker Utility (Set Cache Size to size x)

sfc /cachesize=x

System Properties

sysdm.cpl

Task Manager

taskmgr

Telnet Client

telnet

Traceroute 

tracert <hostname or IP>

User Account Management

nusrmgr.cpl

Utility Manager

utilman

Windows Firewall

firewall.cpl

Windows Magnifier

magnify

Windows Management Infrastructure

wmimgmt.msc

Windows System Security Tool

syskey

Windows Update Launches

wupdmgr

Windows XP Tour Wizard

tourstart

Wordpad

write

Mostly taken from this article.