Once or twice a year, I spend a few hours cleaning the detritus off of my hard drives. You know, the driver downloads, intermediate video rips and renders, and all the crap that's in my downloads folder. But, with modern OSes hiding a lot of the files you use on a day-to-day basis deep in the directory structure, it can be tough to know where those big files are buried.
That's where WinDirStat (Windows) and Disk Inventory X (Universal Beta for OS X) come into play. These tools scan all the files on your hard drive, noting size and location. Then, they create a to-scale visual representation, called a treemap, of the space used by each file and folder on your machine. Small squares are small files, big squares are big files. Select a folder in the list, and you can see all the files inside it. This is very useful.
While you can delete files directly from each app, it's not always a good idea. If you want to get rid of an application or game on Windows, it's better to use the Add/Remove Programs tool than just delete a folder. And if you aren't sure about the contents of a file, it's much easier to preview them using Finder or Explorer. open the folder in Finder or Explorer and delete from there.