Mac only: Wine has always been popular among Linux users for running Windows programs, but Wine is available for Mac, too — and now, free utility WineBottler can "bottle" Windows programs into separate application bundles that run as standalone Mac apps.
To use WineBottler, just download a Windows EXE, then drag and drop it onto the WineBottler app. You can install them in a fake C: drive located by default in your home folder, just as you would on Linux, and run them from there easily. However, if you want to create a standalone application bundle (so that you can give a Windows program to a fellow Mac user, for example), WineBottler will create a separate bundle with Wine included inside, so your friend doesn't have to have Wine installed — the app acts just like any other OS X app.
Note that just like in Linux, not all Windows programs work in Wine — so you'll have to see for yourself if the program you want to convert is compatible. (Notepad++ Portable, in the screenshot above, worked great.)
WineBottler is a free download, Mac OS X only. Thanks, Tristan!