Users of Linux and now Mac OS X (with the new Spaces feature) will be familiar with virtual desktops. I find them to be invaluable an productivity aid. In short, virtual desktops allow the user to spread open windows across two or more “virtual” desktops. For example, I usually have my personal windows (browser with Gmail, iTunes, etc.) on one desktop, and my work windows (Outlook, client files, OpenOffice.org) on another desktop.
Microsoft does offer Virtual Desktop Manager (link to download), but it is not a very good implementation. It lacks the ability to easily move windows from one desktop to another if you don’t want to see every open window on the taskbar.
I just started using Dexpot, a lightweight virtual desktop manager for Windows XP and Vista. It has all the right options, including the ability to set custom keybindings for switching from one desktop to another, and makes it easy to move windows between desktops, as well.
If you want to give it a try, Lifehacker has a tutorial on getting up and running with Dexpot.
None are quite as good as Linux with Compiz Fusion (shown above is the Cube, one of the flashier and more intuitive features available in Linux), but they go a long way towards improving productivity in Windows, especially for those without a second monitor.