So maybe something went wrong on you while downloading the game. You may achieve that using one of the many virtualization options (VMware, VirtualBox, Parallels), or even try your luck running Steam under Wine (but that might be too buggy). I downloaded the Mac version of ChickenJump myself and on my Mac it works. However, if you want to download a Windows-only game, then you might need to run the Windows version of Steam. (but you might need to copy files from subdirectories inside Steam\steamapps\common) To download apps from the Mac App Store, you need a Mac with OS X 10.6.6 or later. What I've described should also work on most steamplay titles, that are available on Steam for Mac and Windows. Mac App Store is the simplest way to find and download apps for your Mac. It also works the other way around: copying files from Windows to Mac. Then, the Windows Steam will still download Windows-only files, but they are quite small, maybe less then 100MB.
Thus, you can safely copy such files from your Mac Steam to your Windows Steam, saving you a few gigabytes of downloads. Those files contain all the multimedia assets (levels, audio, textures, 3D models.), and such data is identical to both Mac and Win versions.
They have lots of *.gcf files inside the Steam\steamapps folder. Let's look at Half-Life 2 and other Source games. Most multi-platform games share a large amount of data between platforms, even though the actual executable is different.
