Windows only: Mice and touchpads really are two different beasts, yet Windows forces you to use the same sensitivity level for both. If you find you'd rather have a different sensitivity for each input, free app AutoSensitivity will let you do so.
There's not much else to be said about this program. Once you open it up, you can adjust the sensitivity for both your mouse and your touchpad. When your mouse is plugged in, it will use the mouse sensitivity, and when it's not, it will revert to the touchpad's sensitivity. No longer will you need to turn down the sensitivity every time you plug in your external mouse—just set this app to start at login and forget about it.
AutoSensitivity is a free download for Windows only.