Generally, movies and music can be shared between different operating systems. However, applications usually have no compatibility between operating systems. Applications have to be built for the specific operating system you are running on. Many applications do provide different versions of their application to run on the different operating systems. Some data files for these applications may be compatible across different operating systems. For example, Word document files can be opened by both the Windows Word program and the Mac Word application.
Web based applications are gaining popularity because they can be run in any web browser regardless of the operating system.