I don't normally use Windows, so it's rare for me to post tips on it. However, a friend of mine figured out a way to make my Windows experience a bit more like my Linux experience (well, the way I have it set up anyway).
Rather than clicking a window to bring it into focus, you can hack the registry to have a the position of the mouse cursor change the focus of a window. That is, the window your mouse cursor is hovering over will become the one in focus.
I'll let my friend explain how to do it:
19:19 <@wabz> wohooo
19:19 <@wabz> windows has the feature, its just not in control panel
19:20 <@wabz> if you want to do it, add 0x0001 to userpreferencesmask in hkcu\control panel\desktop
So if your UserPreferencesMask is b0 32 05 80 just change it to b1 32 05 80. If you don't much like registry editing, you can download the TweakUI powertoy and enable the "Activation follows mouse (X-Mouse)" option.