Windows only: Freeware application Sandboxie provides a safe "sandbox" for you to test out new software without making any permanent changes to your system.
Sandboxie is a lot like previously mentioned Altiris SVS, but since I've started using Sandboxie I've become somewhat of a convert to its no-nonsense operation. One really great feature of Sandboxie is the quick sandboxing of your browser, which - aside from giving you a completely safe browsing session - lets you run a second instance of Firefox. That means you can run two profiles at the same time (something I do on a semi-regular basis). Both Sandboxie and Altiris SVS are great choices for testing out apps before you completely install and for browsing the internet with nearly complete safety, so if you haven't tried out virtualization as a testing bed, I'd recommend giving one of these a try.
Sandboxie [via FreewareGenius]