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Windows only:
MFC, WTL in C++
plain old C with Windows APIs
Windows Forms using C#
Windows Presentation Foundation using C#
VB6 (though not good for anything .NET)
yes, all Microsoft technologies good for, uhm, Microsoft Windows.

Java for cross platform GUI using Swing/JFC or SWT. It's a very good choice and performance is not bad at all for any GUI applications. However, the language features evolve much slower than C#. Pretty much all Java developments are now focused on either server-side technologies or rich client application.

Web application development is a totally different story. However, Microsoft and Adobe are trying to blur the line between web application and rich client application. Microsoft has WPF XAML web application (Winodws, .NET required) hosted in IE and silverlight applications in generic browsers and platforms. Adobe has Flex builder for flash development running in web browsers. Both are not html/xhtml, css based traditional web applications but supported by much richer virtual machine runtime environments hosted in web browsers. Java applet was dead many many years ago.

Mac OS X GUI development will be quite different and relatively easy with powerful APIs. OS X is actually not only user friendly but also developer friendly. You wouldn't say that on Windows or Linux.