Really the Macintosh has always been a LOT more compatible with other machines than the Windows PC, if I recall PC Exchange (allowing you to access PC formatted disk drives) came out in 1993 or so, packaged with the system and installed by default (although, as always you could chose not to install it). With OS X PC Exchange is no more as foreign disk support is built into the system at a deeper level.
Windows still does not recognize any other disk formats without a third party application.
As for compatibility between programs that all depends on the program you are using. If you are talking about MS Office stuff that is mostly compatible, although there are some things that just don't work between the PC version and the Macintosh version, but guess what, that's Microsoft's problem. An Interesting bit of history. Microsoft office 98 for the Macintosh was hailed as the greatest version of Office, not only did it work well it spanked the pants off the Windows counterpart, Microsoft Office 97. When the next version of Office for the Macintosh came out, Microsoft office X, it suddenly was a LOT worse. Convenient, isn't it?