May I recommend to check up www.nanohub.org? There are many tools available in Tools section, many are free. Mentioned commercial software list could be added by FEKO as well. If you are on a budget or do not want get it with commercial tools, there are plenty of open-source packages capable for FEM like Elmer, FDTD like Meep, etc.
Open source "multi-physics" packages (i.e. capable of solving coupled but different PDEs over the same mesh) are generally those FEM-related: FreeFEM, OpenFOAM, FEnICS, SALOME/Code_Aster, OpenModelica and many more, limited list is here: http://en.wikipedia.org/wiki/List_of_finite_element_software_packages.
we use COMSOL Multiphysics, it is userfriendly and powerful. There are many modules available, especially for MEMS and Microfluidc analysis. However it costs very expensive of about USD 3500/module.