Under Windows you can create shortcuts to bat files. Thus e.g. a shortcut to glquake, with Quake guy icon that changes gamma to 1.2, launches the game at 1024x768 etc., changes gamma to 1.0 (back to desktop)
So you can do whatever and it's easy! (at least until and including XP)
Under linux you can create a .desktop that runs a shell script too, but it feels more like admin work than everyday user job. It's also limited (why can the file manager create them on the desktop but not in a file manager window? What about that other file manager that can't create them whatsoever? How to get rid of that annoying choice dialog when launching a shell script from the GUI? Do I need to run gnome-terminal -c crap.sh, gnome-terminal -e crap.sh or gnome-terminal crap.sh, with or without quoiting, or /path/crap.sh? bash crap.sh?)