Windows: One feature I miss from my Mac when I move to my Windows PC is the ability to highlight a group of files, right-click them, and select "New Folder with Selection" to create a folder and automatically fill it with the items I've selected. Files 2 Folder is a free Windows shell extension that does just that -- and it even asks you what you'd like to name the folder when it's completed.
Files 2 Folder is similar to previously mentioned Smart Folders, but it works a bit better. First of all, it doesn't require you do anything different than you're used to -- you can still right-click to create a new folder, the way you probably do already.
All you have to do is select the files you want in that folder, and the app handles the rest. Plus, unlike Smart Folders, it doesn't keep you from opening a file with an application by dragging and dropping the file onto the app. It fits into your workflow a bit easier and doesn't stop you from creating folders your usual way. Files 2 Folder is free, and works wherever Windows does.