Switching to a Mac doesn't mean having to leave behind Windows or your software. That's because your new Mac is perfectly at home running Windows and Windows software. In fact, you have several options open to you if you want to keep using your favorite Windows software.
Boot Camp

OS X has built-in support for Windows using a utility called Boot Camp. Using this you can turn your Mac into a dual-boot system with both OS X and Windows installed on it.

Pros

    Free (all you need is a Windows installation media - disc or .ISO file - and a valid license).
    Runs Windows using the full system potential of your Mac.
    Easy to use.

Cons

    Having to switch between Windows and Mac.
    Fragmenting files between the two operating systems.

Bottom line

    Great if you only use Windows occasionally, but for regular use switching between the two operating systems becomes tedious.

Tip

    If you're a Boot Camp user then I recommend you check out TrackPad++, a utility that allows you to make full use of your Mac's trackpad when you're in Windows.

Free virtualization software

Virtualization software doesn't have to cost money. There are plenty of free utilities, such as VirtualBox.

Pros

    Free download.
    It works.

Cons

    Performance is poor.
    While VirtualBox is open-source, some features require a closed-source add-on pack.
    Software is not particularly user-friendly.

Bottom line

    Great for getting you out of a bind, but performance is poor, particularly graphics performance.

Commercial virtualization software

This category of software includes utilities such as the excellent Parallels Desktop for Mac.

Pros

    Excellent performance.
    Allows flexibility in the way Windows and Windows applications are being run (you can access Windows as a whole or run Windows applications so they look and feel like native Mac apps).
    Lots of high-end features (such as the ability to take snapshots of the operating system as backup).
    Configures system settings based on how you plan on using Windows.
    Can access a Windows installation installed using Boot Camp.

Cons

    Costs money.
    Bit of a learning curve to get the best out of the software.

Bottom line

    The best way to run Windows on a Mac, by far.

Leveraging the Linux-based Wine compatibility layer

You might be lucky and be able to run your Windows apps on OS X without needing Windows at all using a utility such as WineBottler. This utility uses the Linux-based Wine compatibility layer to support a selected number of Windows applications.

Pros

    Free
    No hassle - no need to install Windows
    When it works, it works very well

Cons

    Patchy support for Windows applications
    Fully unsupported - if things go wrong, you're on your own

Bottom line

    If the application you want to run is supported then taking this route can save you money, hassle, as well as precious disk space on your Mac.