FileMon (File Monitor) and RegMon (Registry Monitor): FileMon monitors file access and operations. RegMon monitors registry access and modifications.

Sysinternals tools are very good for monitoring. Do a google search and download them for free.

TotalUninstall is good to monitor during install time. Process explorer, filemon, regmon can monitor during run time of an application.
Regshot is also good to monitor registry changes and create a .reg file with the changes.

Don't know right now,but time ago i used a lot Comodo HIPS,stops in real time while creating new processes,files,registry activity etc,very useful because not only monitor them but stops with a window asking you if you want to block or allow before modifying or creating.