This very question arose with my client today - and your answers have been useful but I should like to add that from a Western-users' perspective (carefully avoiding reading/writing directions), the root of the question is in why Windows placed their buttons on the right and OS X on the left.
The right-hand-side is a user preference for those who use their mouse in their right hand, which gives a natural "mouse off" the screen on the right. Left-handed users often still mouse-off to the right (from habit using the right-hand interface pattern under discussion), but will be physically more comfortable mousing off to the left.
There are more right-handed users than left.
Clever interfaces will offer a preference or alternative (such as Window's own "hidden" close button on the left of their window title bars).
Whether OS X was designed by a leftie, or whether the science of user interface design was in its infancy, I couldn't say, but I think Windows have got it right. Besides, I understand the OS X red button doesn't close the application, but hides the window so the question may not be entirely valid if comparing the two operating systems.
I've never been happy with OS X's 3 colored buttons either, although the user learns to recognize the buttons by position 1, 2, and 3, I believe adding an icon as Windows does just caters for more cognitive preferences than a circle and position alone. Squares / circles, left/ right, icons / no icons; it sure looks like someone only wanted to be different!
In summary, consider your users' mouse-off positions and where possible, give them some choice in the control of your interface.