Well, I've been a Mac user all my life, but there are a few Windows-only apps that really interest me.
Winamp--iTunes is essentially just as good, except that there are more plugins for Winamp, allowing it to play more types of audio files than iTunes. Some of the audio files cannot even be played on any Mac program whatsoever (except maybe Virtual PC emulating Winamp).
MSN Messenger 6--Face it, right now there is NO way a Mac user can have webcam and audio chats with people who only have a .net passport. Can't be done. Maybe eventually Adium or dMSN (or maybe even aMSN) will accommodate those features, but MSN 6 is still far better, especially also due to the Application Sharing feature. There's like no Mac equivalent of that in any program.
Office Clipboard--Come on, being able to have an archive (up to 12) of cuts and copies is really handy!
Kazaa/Kazaa Lite/etc.--These file sharing programs are supposed to be far better than any file sharing program on the Mac, due to the very high success rate of each chosen download as well as the speed of the downloads. I know Kazaa spies on your computer, but Kazaa Lite doesn't, and while Kazaa Lite does cost, you can just briefly get Kazaa, download Kazaa Lite, and toss away Kazaa. It's as simple as that. Then you have a great file-sharing program that doesn't spy on you.