[warning: may contain inaccuracies - I'm still only delving into the technicalities of audio processing]
Since installing ASIO4ALL I've been able to get 1ms latency in FruityLoops/Windows XP (using just the built-in Intel audio chip), which is about as good as it gets. However, the WaveRT audio port in Windows Vista apparently supports real-time audio.
Linux has always suffered from bad latency in the past, making it difficult to use for real-time audio recording. Happily, Ubuntu Feisty provided a low-latency kernel option, and there's now a real-time kernel which is used in UbuntuStudio - a new Ubuntu flavour designed for multimedia.
The Windows Vista Audio Engine also supports processing of audio in 32-bit, rather than the previous 16-bit; Diego Pettenò has been doing sterling work on converting Xine (the default audio engine for Amarok) to pass 32-bit audio to PulseAudio.
Presumably Leopard will do all this too?