Windows stores a lot of information in the Event Log. Check out the event viewer in Control Panel/Administrative Tools. There are System and Application messages there. Also check out the program directories as some programs tend to store data in their local directory using a flat log file.

For *nix look at syslog (http://userpages.umbc.edu/~jack/ifsm498d/syslog.html). Many applications take advantage of the syslog daemon to do their logging. The nice thing about syslog is that logging can be done remotely. So all routers, servers, etc. can be setup to use the syslog daemon on a dedicated logging machine. All your logging is automagically consolidated and network-wide data can be gathered.

Hope this helps a bit.