Mac only: Wine has always been popular among Linux users for running Windows programs, but Wine is available for Mac, too and now, free utility WineBottler can "bottle" Windows programs into separate application bundles that run as standalone Mac apps.
To use WineBottler, just download a Windows EXE, then drag and drop it onto the WineBottler app. You can install them in a fake C: drive located by default in your home folder, just as you would on Linux, and run them from there easily. However, if you want to create a standalone application bundle (so that you can give a Windows program to a fellow Mac user, for example), WineBottler will create a separate bundle with Wine included inside, so your friend doesn't have to have Wine installed the app acts just like any other OS X app.
Note that just like in Linux, not all Windows programs work in Wine so you'll have to see for yourself if the program you want to convert is compatible. Notepad++ Portable, in the screenshot below, worked great.)
WineBottler is a free download, Mac OS X only.