Windows Vista includes search capability in the Windows (aka Start) menu. I love this feature. I've been using tools like Launchy 
and Slick Run for this type of capability. Part of me wants to go back to the Alt+Space shortcut because I feel like it responds better, but that might simply be in my head. Despite that, Slick Run has the nice capability to add custom commands. I'd like to see this in the Windows menu search. This is, in part, the same thing as having keywords for favorites in IE , but it goes a lot farther.
If you've ever used Slick Run, you probably don't need an explanation, but if not, here are a couple examples. First, I read a lot of blogs and try to keep up with them everyday. With this, I'd like to have a search keyword that automatically opens my blog reader. For instance, I want to type Win, blogs, Enter and have Bloglines open. Of course, if you use a desktop feed reader, the shortcut could be configured to open that instead. With this, you're probably asking why not create a shortcut and simply type bloglines or maybe even blogs and find the item in the search results. All I have in response to this is that I want something that has a very snappy response time with as few characters as possible. If I have to type 10 characters or dig thru a list to find my item, I don't like it. I'd rather spend the time beforehand to identify the small handful of keywords I use the most and make sure those come up first. One other example would be typing Win, mf, Enter to bring up my site, www.michaelflanakin.com. This might show a little more benefit since I'd have a mere 2 vs 8-15 characters. Still, this isn't anything you can't work around with the existing feature-set. Perhaps a slightly more complicated example would be a search for a TV show or movie. I'd like type type Win, tv stargate, Enter or Win, imdb stargate, Enter and have a new browser tab/window open with the search results for either TV.com or IMDB . Another example would be Win, wiki stargate, Enter, which would search Wikipedia .
Despite the fact that these are all browser-based examples, I'd like to have this baked into the OS. This way, I don't have to take the extra step of opening a browser window, if I don't already have one open.
On a side, but related note, it would also be nice to be able to open a few things with one command. For instance,Win, daily, Enter might bring up my blogs, my website, and my email. I typically open these three things in tandem first thing every morning.
Edit: While this isn't in Windows, yet, Start++ is a great solution to the problem. If you're looking for this type of feature, check it out!