Fun Input Toy
Chinese input under Windows has improved constantly. There are even free, third-party input methods. Google makes one, though it ripped off the code from another Chinese company. Unlike some of the worthless software Google has on the Mac (their search software comes to mind here, since Spotlight is at least as good, and comes on the Mac by default), Google does not have a Mac version of their IME.
Besides the fact that Windows Chinese input has improved, the input method included with Mac OS X has actually regressed. For a given set of pinyin, I actually get LESS characters now than I used to. Fortunately, some independent developers have begun writing their own Chinese IMEs for the Mac. One is even free, called "Fun Input Toy", or FIT for short:
It fixes a lot of problems with IME that came with Leopard, and looks better too. The input window is black. It also chooses things that are more likely than the default Apple one. If I type ‘buzhidao’, the Apple input method gives me an incredibly unlikely 布置到, while FIT gives me the much more likely 不知道.