Do you just use a standard directory structure? Do you use tools to help rename/move files?
I use MediaMonkey to manage my files, and I am very happy with it.
As far as videos, I take advantage of the folder views and thumbnails to make my folders nice to look at:
A cool trick I only recently learned is that you can just name the image you want to show in the folder "folder.jpg" and it will be automatically used as the thumbnail. This is particularly handy.
For music, I like the convenience afforded by dedicated apps. It's fine organizing everything yourself at first, but once your collection is reasonably large, it becomes a pain. Personally, I like iTunes for music organization. Yes, it's a bit bloated, but it runs reasonably well on a decent system and the memory usage is a small price to pay for the convenience.
I'm not a serious photographer, so I currently organize the few photos I have myself. I have heard great things about the new iPhoto and also know some happy Picasa users.
Like Andy, I use iTunes to manage my music. I have set iTunes to automatically organise the mp3s into folders according to the artist and album.
Google Picasa can arrange your photos into folders according to the year, month and week taken. Sometimes it can be really good, but when you are searching for a picture manually it can be hard to find exactly what you are looking for.
I use iTunes' "Keep iTunes Music folder organised" and "Copy files to iTunes Music Folder when adding to libray"
It copies any new files into
[iTunes Music Path]/Artist/Album/01 - Song Name.mpg
On OS X, I also use iTunes for playing music, on Windows I used Foobar2000 (with iTunes for importing/retagging)
I use Tag & Rename to tag everything and manually sort them in folders separated by genre with sub-folders according to artist. It is because I like to have complete control of my tags and locations that I no longer use iTunes and switched to a Zune like 8 months ago. The Zune software will actually check folders I predefine and (really Apple it can't be that hard, although not having used it for quite some time it's entirely possible they do it now) and the whole process has the perfect level of transparency for me. Letting iTunes copy mp3's I already have seemed quite silly to me so I stopped after about a month.
But back to Tag & Rename for a minute, I'm sure there's plenty of software that duplicate's it's functionality as well or better, but it's what I'm quickest with and it does everything I need. It searches Amazon for info and grabs the album art at the same time. That's really the most functionality I need, plus it lets me rename the files to my preferred format or [track #]-[song title].mp3 among other things.
For music, an awesome but overlooked option in this space is Helium Music Manager.
For music I prefer my own directory structure, which right now is structured like: "...\O\Orbit, William\William Orbit [2009-06] My Oracle Lives Uptown\". I get the appeal of the "just tag everything and let iTunes sort it out!" approach but it doesn't work too well if you want to get at your music from other applications (media extenders, etc.). I do most of my organizing in MediaMonkey, but it doesn't support some of the tags I want to manage so I have to supplement it with extra tagging in iTunes itself. Keep hoping they'll fix that someday, 'cause I really do like MediaMonkey, but I also like seeing albums show up in the right order on my iPod.
For photos, I use iMatch to manage hierarchical categories (people, places, etc.) and write the categories and other metadata back to IPTC tags in the files themselves, which are usually in a year-month-day directory hierarchy.