That's supposed to be possible in KDE 4 (on lunix) as well. Unfortunately, they decided to release alpha-level code as 4.0 final and nobody really know when it will become usable. Perhaps this summer there will be a beta-level 4.1 release and some time there will be a stable 4.2 release.

No they don't give you a slider by every window, that would clutter the UI a bit don't you think? But when you click the little speake icon in the system tray to get the system volume control, at the bottom of the volume control there is a button to open up the mixer and the mixer has a volume slider for every window that has emitted sound over the last few minutes and a mute button for each as well, I use this very much and am entirely pleased with finally getting some usefull volume controls on my computer. But that is not the only thing MS changed in the sound pathways for Windows in Vista they actually redesigned the whole audio system so that now the volume controls work with dB not % so they work more like the ear expects them to. See here for more details on the matter.

Does it go to 11?