If you want to play around with XSLT get "TestXSLT" (do a search on versiontracker). It is absolutely brilliant, with several processors built-in (Sablotron, libxslt, Saxon etc).
XPATH Explorer is another great tool, for experimenting with XPATH. Written in Java, you can find it on sourceforge.
If you want to fiddle with XSL-FO, there is an application called FO Editor (shareware, worth the fee) that you can find on versiontracker.
To muck around with XML and XML Schema, I recommend Turbo XML from TIBCO (search on versiontracker).