Windows only: Freeware app RunMe creates a tightly themed sidebar launcher for the Windows desktop that allows you to add highly customizable shortcuts.
The premise behind RunMe is to improve your productivity by allowing you to avoid the Start menu altogether -- that is, you can quickly access your most frequently used applications without impeding your work flow. The developer of RunMe says that RunMe is specifically for Windows XP, however, I've had mixed results with it on Vista under Parallels. RunMe is a free download for Windows only.