Launching programs by scrubbing through the Start menu -> Programs submenu, or navigating a folder hierarchy, is often time-consuming and error prone.

I installed the free Colibri, available from (http://colibri.leetspeak.org/), on Windows, and Quicksilver, available from (http://quicksilver.blacktree.com/), on Mac OS X.

Now launching any application is as fast as hitting control-space and typing a few characters. Colibri (and the other programs, below) finds all applications containing those characters, even if the characters are non-consecutive. At least, it feels faster (timing studies may prove otherwise).
From what I’ve been reading, Launchy may now be a better choice.
For Mac OS X, there’s Quicksilver, LaunchBar and Butler, all excellent choices.