I like Echofon a lot. Their Windows client is essentially just their firefox plugin running as it's own app, but it's pretty good.
I especially like that I can sync all the tweets I've read between my Windows machine at work, my iPhone, and my Mac at home. I don't know of any other app that works for those 3 platforms and has syncing.
I'll give that a try, but I don't care much for Echofon on any other platforms.
There is a service called Tweetmarker (http://tweetmarker.net) which some clients are now using to flag your last-read location amongst other clients on other platforms (e.g. Osfoora on Mac and Tweetbot on iOS).
I especially like that I can sync all the tweets I've read between my Windows machine at work, my iPhone, and my Mac at home. I don't know of any other app that works for those 3 platforms and has syncing.