I've switched operating systems three times over the last six months. (See this post for the whole story.) When you switch, you have to figure out what data you need to keep and how to convert it to be used on the next OS. Sure there's the 'My Documents' folder that you'll copy over. Those PDF files will work fine, no matter what OS you're using. Office docs will generally work between the PC and the Mac. OpenOffice can also deal with most Office documents like Word and Power Point if you're headed for Ubuntu Village. Email is where it gets tricky.
I was using Outlook under XP and planning on using Thunderbird under Ubuntu. There is no Ubuntu application that will read Outlook files. It turns out you need to convert them to something useful on XP before you switch. This can be a problem if you've already switched and only have the Outlook files but no longer have Outlook. It worked out for me since I was using one computer but two hard drives. I could boot off the old XP disk and be back in Windows Land. Basically you need to export your email from Outlook and then import it to Thunderbird. Thus you have to get it working under Thunderbird on XP and then you're back simply copying over the Thunderbird email directory. So in my case of moving from XP, to Ubuntu, and finally to Mac OS; the XP to Ubuntu was the hard part. Moving from Thunderbird on Ubuntu to Thunderbird on Mac OS was pretty painless. Eventually I moved to Mail.app on Mac OS and as long as you can find a converter program, you're good to go. The one that worked for me was Eudora Mailbox Cleaner, which I highly recommend. There are a few tricks, like emptying your trash and compressing all your mail folders before converting, but otherwise it worked like a charm. I highly recommend it. I also learned that Mail.app uses SQLite under the covers. Which makes me want to learn more about that little corner of the world at some point.
What about calendar? When I moved from Outlook on XP to Thunderbird, I also switched to Lightning, a Thunderbird plugin that does calendar. It was pretty creaky but it worked. I was able to export my Outlook calendar and import it into Lightning. Moving Lightning to Mac OS from Ubuntu was again pretty easy.
The part that I almost forgot were my bookmarks. At first bookmarks don't seem that important. They are sort of temporal. You're working on a project and you accumulate a set of bookmarks related to that project: how to convert Outlook to Thunderbird, for instance. But there really are a lot of bookmarks that you need to take with you. I realized this after spending way too much time trying to find web pages I know I had bookmarked on my old machine. I then found this great Firefox plugin called Foxmarks. Foxmarks is a plugin that keeps a backup of your bookmarks on their servers, which can be convenient, if just a little bit scary from a privacy point of view. But the really cool thing is that Foxmarks keeps the bookmarks on all of your computers synchronized automatically. (Assuming that you've installed Foxmarks on all your computers.) This means you can add a bookmark to your computer at work, and later that night after you've put the kids to bed, you can belly up to your home computer to continue your project, and that bookmark will be there ready for you to use. Pretty sweet.
I'm not sure how the Foxmarks folks are going to make money. One founder is Mitch Kapor of VisiCalc and Lotus Notes fame so they shouldn't be hurting for funding at least. Their web site says something about better search. I suppose you could use bookmarks as a way to increase relevancy in search. Rather than using Google's Pagerank you could use some sort of Markrank that would boost pages that have more bookmarks. In the meantime, Foxmarks is a great way to keep your bookmarks safe and in sync.