The way operating systems work is that an app’s program data (the "executables") goes into the application installation folder, and any settings for said app in the user folder. Why? There’s several reasons, but the most important is that if there are multiple user accounts in an OS, each user that uses that app can have their own custom settings without cluttering up the program data folder.
Windows really didn’t enforce this until Vista and 7. As such, from Win95 to WinXP, people considered it normal that all app data resided in the Program Files directory, which of course is completely wrong and stupid that a multi-user OS would even allow that. That’s Windows for you. But I digress.
App settings for most apps in Windows are kept in what’s called the "roaming folder". What a properly programmed app is supposed to do on uninstall is ask you if you want to delete the app and the user data associated with it. Better apps like AIM do this, but there’s a ton of them that don’t, leaving your roaming folder full of crap from apps you uninstalled.
STRONG WARNING BEFORE CONTINUING: You can safely delete data from the roaming folder, but only for apps that you are ABSOLUTELY SURE do not exist on your computer any longer. If you delete a folder that you shouldn’t, on the next run of the app it make simply not work anymore. In other words, if there are folders in there where you’re not sure if you should delete or not, don’t do it.
Let’s say for the moment you decided to install Mozilla Thunderbird. You tried it, didn’t care for it and had it uninstalled. Well, Thunderbird left a roaming folder behind called "Thunderbird" in the roaming folder.
To get to the roaming folder quickly, click Start then Run, type %APPDATA% and click OK, like this (works in 2000, XP, Vista, 7):
This will launch the Application Data folder, a.k.a. the roaming folder.
In that folder, you’ll see a Thunderbird directory even if the app is uninstalled:
If you’re 100% sure Thunderbird is not installed on your computer anymore (you can check Add/Remove to be sure), then it is safe to delete the Thunderbird folder in the roaming directory.
Is app crap that’s left behind exclusive to Windows?
Absolutely not. Apps for Mac OS X and Linux also leave crap behind, however where the data is placed in those respective environments is almost always in the user folder. Sometimes it’s hidden within a dot-folder while other times it’s in plain sight.
Again, whether you have app crap left behind after uninstall/remove of an app depends on how well or not well it was programmed in the first place. Better ones actually have an uninstaller of some kind that will automate the removal of unneeded app data. If it doesn’t, you should check your user folder periodically to ensure there isn’t garbage left behind from apps you removed and don’t use anymore.
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