MacVim has some nifty features like Cmd + S to save Cmd + Z to undo, and so on, is there a port like this for gVim.
You can accomplish this using the map command in your .vimrc (or _vimrc in windows) like this (Ctrl+s to save):
map <C-S> :w <CR> map! <C-S> <ESC> :W <CR> i
The later is for when you are in insert mode. You can find more information here Mapping Keys
These shortcuts are not standard vim shortcuts. However, undo is simply "u" and save ":w" (after entering the right mode with ESC).
See eg. this question on how to create your own shortcuts.