BBEdit, terminal. Also, not an app, but not having to screw around to make things work. This alone gives me a huge productivity boost, over Linux or Windows.
I believe that "not having to screw around to make things work" doesn't apply to windows, or at least, not anymore.
Do you recall specific situations where something worked out-of-the-box on Mac but required "screwing around" on a windows machine?
Terminal. Git. Wifi. App store & re-downloading purchases. Imovie with direct YouTube upload. These all often require screwing around or installing addons in windows. All worm flawlessly out of the box (OK I movie takes 3 or 4 clicks to buy/install) on my mac. These are just the firs few things that came to mind.
iTerm2 running tmux. That's where I run vim and irssi.
As for GUI stuff.
* Alfred - Alfred will make you 100 times more productive moving around your system.
* Spotlight - Even if you don't use Alfred, spotlight will make you more productive
* AppZapper - Uninstalls apps and removes all the little things that get left behind when dragging apps to the trash.
* Automator - A lot of people don't ever learn automator, but I think it's the best thing ever. It comes with OS X and it's awesome. I write little tasks all the time for example, I have an automator task that zips my project directory with a timestamp in the name and moves it to dropbox every day at 4:55pm for backup.
* Billings - If you do contract work Billings is amazing
* Github.app - Amazing tool
* Growl - Amazing nofitications
* LittleSnapper - Fantastic tool for keeping track of screenshots of designs and such
* Mou - Great little markdown editor
* Propane - Fantastic campfire client
* Skala Preview - Allows you to connect to photoshop and see your iOS psd's realtime on your iOS device
* Textmate - Amazing text editor
* Transmit - Best ftp client hands down
* Wakeup Time - Turns your Macbook into an alarm clock
Of course! I probably should have clarified and said something like "being able to run a real terminal alongside programs like Photoshop without having to us a VM has me hooked." I love linux, but there's a lot of software I use every day that only exists for mac/windows.
Omnifocus (Omni products in general), Keynote, Alfred, Papers2, Scrivener (although there is a Windows version now), All the text editor options (Notational Velocity, Nottingham, etc)