Common Myth #1: Apple isn't compatible with Windows.
This is a broad generalization. Let's unpack this and see what is compatible and what isn't.
On the Mac OS, Mac Office 2008 runs just like it does on Windows. MS Word, Excel, & Powerpoint files can all be opened on either machine. I have noticed that once in awhile, an animation in a Powerpoint will get dropped between platforms. However, when this happened, I was also going between versions (I think I was going from Office 2007 to Mac Office 2004). Overall, the MS Office suite is compatible across platforms. MS Publisher does not open on any other application but Publisher. That is a Windows only application.
iWork is suite of applications for use on the Mac. iWork can import in any of the MS Office formats (except Publisher). They can export documents back out in office formats but certain advanced formatting like masking does not export correctly. The main reason for this is that some of the more advanced features just work in a very different fashion than MS Office. When exporting, these features that are not embedded into MS Office don't export correctly. Overall, I have not found this a problem as I bring documents in, rarely exporting out to Office. When I need to share an Apple created doc, I do so via PDF rather than the iWork suite. However, iWork has a beta version of online sharing which allows any user on any platform to access a document from the Web and give comments (but not actually change it).
Most image files come in JPG formats. However, PNG, TIFF, and GIF files are also used in various places. These all work across platforms and applications.
Movie files frequently come in MP4 format or MOV (Quicktime). Both formats work across platforms without difficulty. If one uses Windows Movie Maker, they may create an WMV file (Windows Media file). In the past, this has been a problem to play on the Mac. I have installed Flip4Mac (free plugin to download) which allows me to play WMV files. Although I don't use it frequently, I have not had any issues for close to 9 months of use. Have others had issues with this after getting any outstanding updates?
Adobe PDF files are designed to be easily maneuverable across platforms and computers. I have not used some of the Adobe CS4 suite to check compatibility. However, my Google search says that they are able to move between Windows and the Mac OS. Have any of the readers have any problem cross platforms?
Overall, more compatibility issues used to exist. Now, with the use of the Intel processor in the Macs, compatibility is not nearly the problem it was. Additionally, more and more web applications operate regardless of platform. This makes it advantageous for not only Mac and Windows platforms, but also the addition of mobile devices to access Web. 2.0 tools.