I've noticed that almost every Windows application has it's Options dialog accessed from a different menu and item name.
As you can see from the pie charts, there doesn't seem to be a clear pick for the menu name, although the menu item is most often called "Preferences". This is incredibly frustrating for the user when they're searching for the link, and something that has particularly annoyed me. (This image took far too long to make!)
So, where should I put the link to the options dialog?