Start Google and look for "Windows XP" "command line utilities".
Should find you some at least. There are many more though.
I'm not sure if there is a comprehensive list available. I will keep searching.
So you seach and find contol.exe. And then what? How do you use that in a DOS-box? And what do you do with the net.exe command? Apart from that: why not also look for the *.msc files? You can use those in the Run-box as well.
I know most of the answers to those questions, but not everybody does. And I may not even have all the answers
The question therefore remains: does anybody know a comprehensive list of all commands you can use in the Run box?
Apart from these commandline utilities, you can start every program on your computer from the run dialogue, in many cases without typing the path or extension. You can open special folders such as FONTS or SENDTO just by typing the name. Same applies for every folder that you have on your desktop. Just typing a period will open your user profile folder in Documents and Settings.
A tip for hardcore nostalgicans. Typing progman will open the Windows 3.1 program manager, which is still part of XP.