Both Windows and Linux (via PulseAudio) provide this. I'm not as familiar with the Windows side of things, but on Linux I can also redirect each application's sound to different audio devices.
Yup, this is extra useful when I'm using e.g. an external USB headset for calls. I can have media played through my speakers while using the headset for calls, regardless of whether or not the application supports this itself. (Admittedly VoIP applications generally do.)