If you despair at the lack of window-management applications available in OS X then Afloat could be what you're looking for - at least for Cocoa applications anyway.
Afloat ensures that your windows remain afloat on top of all others, or allows you to add transparency to them. It's a great alternative to managing windows for those who don't use, or simply don't like Spaces. You can do everything from changing the transparency level to turning windows into an overlay. You can even resize windows by dragging the edges of them - not just the corners.
You can use hotkeys to control all operations but most users will probably find it easier to use the mouse. To access Afloat, go to the 'Window' option of any window that you're using and select the option you want - such as 'Keep Transparency', 'Turn Overlays Back Into Normal' and 'Show Window's File in Finder'. At first, it can be tricky to get used to especially if you've got multiple windows open. Making several of them a little transparent isn't exactly very helpful.
However, if you just want to keep an eye on one particular window - such as a video player for example - then it's an ideal tool to keep the video screen floating on top. The same goes for instant messaging clients that you don't want to hide while working.
Afloat adds a whole host of new windows-management features to OS X that any user who gets deluged by windows should appreciate.
- This new version of the Afloat package is compatible with Snow Leopard.