Semi-related on Win7 (Pro/Ultimate/Enterprise only) you can use the group policy object editor to launch something other than explorer.exe as the shell.
In the past I've used this to launch directly into Steam. My friend has a spare PC in his living room mean for games with an open invitation for anyone to use, but didn't like people abusing it/his internet (We have data quota here, iirc his is 75GB a month then he gets throttled to 65Kb/s), so he asked if I could make it for steam games only. Now when you turn it on, you get a steam login prompt, and basically nothing else. All the installed games are available to anyone who owns them on steam, and work normally.
Hitting Ctrl+Alt+Del, opening the task manager, hitting File->New Task and running explorer.exe gets you the start bar back, so its not locked in or anything.
In general its pretty useful if you have a Windows box that's used for basically one thing, like XBMC or Steam.
