Also, it is an effective way of conserving vertical screen real estate. With the increasing prevalance of widescreen displays, vertical space is (relatively) scarce. This is particularly true on netbooks, and even on full-size laptops. Merging the menu with the top dock gives you an extra 24 pixels or so of vertical space.
I do miss the discoverability of Windows ALT+letter menu accelerator key presses though.
There are some undiscoverable ways to use the keyboard on OS X. In many alert dialogs you can hit Cmd-[first letter] to select that button, e.g. Cmd-D for Don't Save, and Cmd-M for Move to Trash. They don't underline the letter because it's ugly, but once you know about the convention it doesn't matter. I like the way Windows displays the underlines when alt is pressed.
I already knew the alert dialog trick. It doesn't work consistently though which is rather annoying (Apple's own apps rarely seem to support it)
The only issues I've seen are when I have a non-rectangular monitor configuration.