http://winezeug.googlecode.com/svn/trunk/valgrind/doc/win32.html shows (using Chromium as an example) how windows developers can find memory errors in their windows code by running their test suites under valgrind+wine. It's still an early draft; I expect to improve it as I gain experience tracking down the problems that happen when running this test suite under valgrind+wine.
Chromium makes a great example because it has a really good test suite, and, um, because it's my day job :-)
This is currently an experiment. If it works out, I might get to do a lot more along these lines. - Dan