[Cthulhu_]

There does happen to be at least one operating system that supports this: Windows. ^___^

[rhplus]

Yep, since at least Vista, I think. The UI guidelines recommend against in-app volume controls for everything except media players:

http://msdn.microsoft.com/en-us/library/windows/desktop/aa51...

[miahi]

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.