I think there is a bit of a confusion going on what the OP is asking for.
If you're simply asking if you can download a game as many times on different computers and operating systems, then yes, you can do that.
Unlike iTunes, Steam is not limited to one computer, it's bound to your steam account, so you can log in on any computer with your account and download the game there.
If you're asking if you can play any game on Mac and then later on continue on windows, yes that's possible. All you need to do is to re-download the game on windows, or like it has been suggested here. Copy the game folder over to your windows partition, so you don't have to re-download the entire game. It will only download the missing windows files then.
How ever, depending on the game, you would need to start the game over again, since it won't be able to use the save files from your Mac. Some games store the save files online in the Steam cloud, but even that doesn't necessarily mean you can continue where you left off.
I know that Torchlight for example saves everything online, but the Windows and Mac save games are separated.