It would be nice if all your running apps volumns could be controlled from a single place though, rather than having to hunt around for menus in each app.
This doesn't work well with games. Yes, you could change the volume settings from there, but most 3D games are full screen and it's not usual to alt-tab the game just to modify the volume settings.
On Linux (specifically Ubuntu, but I believe generally relevant) PulseAudio controls the volume of the loudest sound by default, but you can also get a panel showing each input and output from the volume menu -- two or three clicks, vs. two for Windows.
Pavucontrol well also let you assign apps per device. Windows has the capability of switching app output devices but sadly only uses it to make them follow the default.