I often need to capture screenshots of applications, desktop shots, and related items. Snagit Pro, which comes in both Mac and PC versions, is my application of choice. The two behave slightly differently, but the user interface is similar enough that I'm comfortable switching between versions.
I use a few additional tools to keep data in sync between the MacBook Air and my Windows systems.
I'm sure Safari is a capable enough browser, but with Chrome's cloud-based bookmark sync feature I can easily keep the same set of bookmarks across all versions. I've noticed that Adobe Flash seems to impose a bigger performance hit and to be less stable on Mac OS than on Windows. But then, Flash isn't a model of stability on Windows, either.
Dropbox (and SkyDrive)
I've used Dropbox for several years now, and its capabilities have grown significantly in that time. I currently have Dropbox on my Windows system, on Mac OS, and on my iPad and iPhone. It's been incredibly useful, enabling me to share large files with editors when email won't work, and to move artwork or text files between various systems.
I've just started playing with the latest iteration of Microsoft's SkyDrive. I now have it installed on the MacBook Air, and with the free 25GB available for my use--one of the benefits of my being an early adopter--it makes moving large photographs and other data files around even easier.
When working with either storage service, I've used the synchronized folders as my default save folders for all my Word and Excel documents. That way, they instantly show up on my Windows-based home systems.
For quick and dirty notes and lists, I use Evernote. It runs across Mac OS, Android (which I don't use), Windows, and iOS.
Windows Home Server Integration
Now let's turn to an area that's not so hot: Windows Home Server. I use Home Server 2011 as my primary repository for backups, as well as for storing benchmarks, downloaded files, and media. WHS 2011 actually worked pretty well with Apple's Time Machine backup tool--until Apple shipped Lion. At that point, the Mac OS Launchpad app displaced the WHS Launchpad (the names and locations were identical), and Microsoft hasn't fixed the problem.
It's still possible to use WHS with Lion, however. One way is simply to use Finder: Click the Go menu, and then click Connect to server. In order for this to work, though, you do need to know the actual IP address of your WHS system.
The other approach is to use root access on the Mac to rename the Mac OS Launchpad, and then to install WHS Launchpad. Unfortunately, doing so merely gives you an easier way to access the server; Time Machine still won't work. I tried a third-party plugin, Orbital Backup for Home Server 2011, but it refused to install on my WHS 2011 system, so that was a no-go. I also considered using a more involved method to back up a Lion system to WHS, but it involved installing a Linux-based virtual machine on the WHS system, at which point my eyes glazed over and I gave up.
The only way I've been able to back up the system reliably is by using a USB hard drive connected to the MacBook Air directly. That's regrettable, but such issues are not uncommon when you're trying to live in a multiplatform world.