I totally agree with you, Windows does it better, but cmd+shift+/ is a pretty good replacement. It opens the help menu, and then you can just type the name of the command you are looking for. It doesn't handle the case where you don't know a program well, but it's quite good at the case where you know a feature should exist, but you don't know the shortcut for it.
Interesting. When I saw cmd+shift+/ I had no idea what that would look like on the keyboard, or why it made sense. I'm a touch typer. Once I tried it, I instantly recognized it as cmd+?, a shortcut I have used quite a bit.
