Cygwin users have a similar utility, "Shell Here", which lets a user open a bash (or other) shell supported by Cygwin, again via a context menu. Again, very nice - even more so, in that you get a full-featured unix shell (bash, csh, ksh, or what have you) instead of a plain Jane windows command prompt.
So... what about Mac users? I found myself missing this functionality today, went looking... and found the following script:
This lets you add a button to the Finder menu bar that will open a Terminal window in the selected directory. As an added bonus, it understands Terminal tabs - so an holding down the Apple key when you click on the button opens up a new Terminal tab instead of a new Terminal window.