Bit unfair to mention GTD without crediting it properly - although the term is used for productivity in general, it stems from a
book/system written by David Allen. Plenty of people swear by it. Never quite worked for me.
You're right - there are tons of apps out there and the productivity blogs are some of the best places to learn about them. Windows has just as much coverage as the Mac world, too - it's just that plenty of Web2.0 bloggers are Apple fanbois...
Good places to start probably include:
LifeHack
LifeHacker
Some of the blogs on the
LifeRemix network
43 Folders
and
Zen Habits
This used to be a good list - I haven't looked at it for a while, though.
Henry - you might want to start by looking at the systems like RememberTheMilk - far more extensive than just making lists, but you might like the idea. There are a couple of apps out there that turn your to-do lists into a game, too. I keep meaning to try one but it's always too far down the list...