Links to documentation for tools and utilities for SQL Server. A lot of these ship with SQL Server or are available from Microsoft.

Utilities:
BCP: Bulk Copy Program – Import or export data
SQLCMD: CLI for SQL or script execution
MSSQL-CLI: Open source, cross platform CLI query tool – requires Python – Alternative to SQLCMD – Includes Intellisense and formatting of results
SQLSERVR: Starts an instance – Option to start in single user mode
TABLEDIFF: Compares data in two tables.
SQLPackage.exe: Working with DACPAC and BACPAC files. SQL Shack posted a good article on this utility with more detail.
SQLdiag: Collect diagnostic data
SQLLocalDB: Create a LocalDB instance
SQL Assessment API: Scan SQL Server to check the configuration

Other Links:
Brent Ozar – Free SQL Server Load Testing Tools
SQL Shack – Free SQL Tools
Microsoft – SQL Tools Overview