The current version of the packaged installer for the tools is at http://cran.r-project.org/bin/windows/Rtools/. This area only contains unbundled components and additional pre-compiled software.

This page only covers R 2.12.0 to 2.14.1: see this page for R-patched (2.14.2-to-be) and R-devel (2.15.0-to-be).
64-bit builds of R 2.11.x were done with a different toolchain and are no longer supported.

The 32-bit toolchain for is mingw32-toolchain.zip. [Updated 2010-09-29]

A toolchain for 64-bit builds which is based on gcc 4.5.2 and does not use leading underscores is available as Win64No_toolchain.zip. This is the recommended 64-bit toolchain for R 2.12.0 to 2.14.x. [Updated 2010-09-29]

The Rtools.exe installer contains R_Tcl_8-5-8.zip. The procedures and scripts used to compile the Tcl directory and in particular to produce the help file are at https://svn.r-project.org/R-packages/trunk/R-Tcl-win/. The sources used were tcl8.5.8-src.tar.gz, tk8.5.8-src.tar.gz, BWidget-1.8.0.tar.bz2 and Tktable2.9.tar.gz.
64-bit build of Tcl/Tk: R64a_Tcl_8-5-8.zip.

Directory goodies contains various libraries compiled up with MinGW, and their sources. In particular local.zip (32-bit) and local64No_.zip (64-bit) are zipfiles of a /usr/local as used for CRAN builds: they currently contains headers and static libraries for fftw3 (3.2.2), gmp (4.3.2), gsl (1.15), jpeg (8c), mpfr (3.0.0), mpc (0.9), sprng (2.0b), and tiff (3.9.1 or 3.9.4). File src/gnuwin32/MkRules.dist has a macro LOCAL_SOFT that can be pointed at the location where this was unpacked.

netcdf-4.0.1.zip and udunits-1.12.4.zip support packages RNetCDF and ncdf.

For x64 R >= 2.12.0, use the software in goodies/Win64No_.
File Spatial64No_.zip contains software needed for use with packages proj4, rgdal and rgeos.

Software for 32-bit R 2.12.0 to 2.14.1

Grouping together links from above:

The recommended toolchain is mingw32-toolchain.zip.
The build of Tcl/Tk needed to build R in R_Tcl_8-5-8.zip
The additional software for making CRAN packages is under goodies/Win32

Software for 64-bit R 2.12.0 to 2.14.1

Grouping together links from above:

The recommended toolchain is Win64No_toolchain.zip.
The build of Tcl/Tk needed to build R in R64a_Tcl_8-5-8.zip
The additional software for making CRAN packages is under goodies/Win64No_