The availability of typography features does depend on particular fonts. Gabriola is the only Latin font included in Windows 7 to support most of the special typography features compatible with DirectWrite. Most fonts that are packaged with Windows were made before OpenType (the typography technology) existed; hence, it is impossible that all included fonts would "magically" support the new features.

OpenType is an open specification, so other font vendors are free to introduce typography features in their fonts. Adobe, for example, has a lot of fonts that support the advanced features.

There is wider support for kerning via features (as opposed to the old style pair table). But this can be kind of subtle.

Cambria has support for nice stuff like small caps and fractions. Most of the newer C* fonts have support for various things. Consolas has a number of different stylesets for example but they're all must more subtle than the expansive flourishes of Gabriola.

There's a chicken-and-egg problem with OpenType features. They cost real money to build into a font (and creating high-quality professional fonts is *very* expensive). So vendors don't want to bother if apps aren't going to use them. But apps can't use them because the vendors didn't bother.

On Windows it wasn't until the release of WPF that most people started paying attention and wanting this stuff. You could do it previously with Uniscribe but it was a bit of a pain, WPF made it much easier. Now with DWrite supporting them also hopefully there will be more interest and font vendors will make the effort to include them.

Apple has payed attention to this stuff earlier than MS did. The Mac font picker makes it more obvious which fonts support what. Hopefully MS will do something like in the future.