Yeah, most things in Mac OS X work on an application-basis.
There are a few exceptions to this, however.
For instance, Exposé.
F9 will reveal all windows, regardless of application.
F10 will reveal the windows of the CURRENT application.
And this one you might find interesting:
F11 will move all windows off-screen.
Essentially, it acts as "minimize all windows of all apps."
By the way, if you want a mouse way of doing it,
go to Apple > System Preferences.
Dashboard & Exposé
Here, you can map the corners of the screen as "hot spots" for Exposé.
Especially practical if you map the lower left and lower right corners, since there is usually NOTHING there.
I usually do this:
Lower Left Corner = All Windows
Lower Right Corner = Desktop
I find that it works quite well.
Try it out.