Window saver for Mac OS X
The latest version of Mac OS X, Lion (10.7) has this feature bult-in. It's called Resume.

From Apple: 


  Now apps you close will reopen right where you left off, so you never have to start from scratch again. And when you install software updates, you no longer need to save your work, close your apps, and spend valuable time setting everything up again. With Resume, you can restart your Mac and return to what you were doing — with all your apps in the places where you left them.


This happens automatically. Not all apps support it yet, but those that don't should be updated soon for full support.

Mac OS X Lion costs $29, and is available on the Mac App Store.