Yes - that's very handy. I remember first seeing this on our SGI Indigo 2 workstation, back in the mid-90's. I'm not sure when the "focus follows pointer" feature came to mac.
That used to be one of my pet peeves in XP - even within the same window, if divided, you had to click to give focus to the other pane before you could scroll. I used a hack to make it emulate OS X. Since the video card driver debacle on my Win 7 install, I haven't even booted it but maybe I will just to see if they've finally copied that feature from Mac (not that Mac couldn't benefit from copying one or two Winblows features).