I was pretty fast used to mac os x, cause my father had 3 three of them in his company. I never used those much, but I learned mac os x amazing fast. As if I knew it already.
You need everything on the mac side as has been made clear above. So if you want office you need to get office for mac 2008. There are however other options like iwork, which will save in a format that's not interchangeable, but you can "save as" into a .doc file.
Some programmers develop for several operating systems. These programs are most times free, like VLC, firefox, openoffice. They're most times made for linux (and most things are free on linux), and they were so kind to make it available for other operating systems also. But you need the right version (so download the mac version and not the windows version, e.g:
http://www.videolan.org/vlc/ you can choose what os you use).
Other programs are for both operating systems too but you'll have to pay for them, I'm talking about programs like Photoshop, Premiere Pro, Maya autodesk. (you probably don't use those)
Video's, music, photo's are ofcourse interchangeable. Doesn't matter what kind you use. .psd .img .gif .mov .avi .wmv, mac os x can read them all.
The sad thing is, is that even piracy exists on the mac os x side.