My idea of how this could work would be for OS X to go into hibernation (thus preserving everything in your current session, such as open programs, files, etc)... then Windows could start up in its place. Hibernation is essentially a full shutdown, but with the contents of RAM preserved in a file on the hard drive, which is immediately restored when woken back up (not as fast as waking up from sleep, but much faster than a full startup and reopening all of your applications). When you're done with Windows, you can put "it" into hibernation mode (or shut it down) and OS X comes up in its place, including all of your programs and files.
Something like that would be an ideal solution, short of Parallels, for someone like me. For instance, while designing websites, I have to check often in IE6/7 and other Windows browsers to ensure things look correct there - it would be nice to be able to go do a quick check without having to close down all my work.