Scrolling Windows
Scrolling works about the same in both Windows and the Mac. Grab the scroll bar with the mouse and drag it (both vertically and horizontally) to move through the contents of a window.
Windows scrollbar:
Mac scrollbar:
One difference is that the small up/down arrows that allow one fine control (moving one line per click) are in slightly different places. In Windows they are above and below the main scroll bar while on the Mac they are both at the bottom. In Windows it is more intuitive that the position matches the function (up at the top, down at the bottom) but once you get past that novice stage, I think the Mac way is better because it takes less mouse movement to switch between going up and down since the controls are right next to each other.
Note: I just learned that on the Mac you can choose between either placement (both arrows below or one above and the other below). Run System Preferences and choose the first icon: Appearance. The first radio buttons (in the second section) allow you to choose either method. So if you prefer the Windows way of things you can have the Mac behave the same way. Very nice.
In that same preference pane you can change scrolling behaviour so that when you click in the scroll bar (not click and drag) you will jump to the place in the file that proportionally corresponds to where you clicked (e.g. if you click 1/3 of the way down the scroll bar you will jump to the position 1/3 of the way down the file). Otherwise the behaviour is the same as in Windows: you will move up or down one page depending on whether you click above or below the current position.
I think most people would also say that the Mac scrollbars are prettier.
The scroll wheel also works the same way in Windows and the Mac if you have a mouse with a scroll wheel, track ball, etc. and they are properly set up.