How can I have per-window menus in OS X?

Well, there is DejaMenu, which gives you a pop-up menu in-situ that has the same contents as the Menu bar at the top of the screen (especially handy when you're working on the second monitor.)

It used to be possible to get it to run as soon as you pressed the 'roller ball' button on a Mighty Mouse, but that seems to have stopped working since OS X 10.5. That was a nice way to trigger it, but there is an additional tool DMTrigger which will run DejaMenu in the same way.

This behavior is by design on OS X. The only exceptions are X11 applications. You can customize your OS X menu bar though - you may find this useful.