It's a startup sound, not an OS-is-loading sound. Compare to x86 boxes, which after all these years still make that annoying "blip-bleep" noise when they boot. By comparison, the Mac startup tone is so rich and deep and almost creamy. ;p One of the many benefits of making he whole widget.
I always thought it was funny how MS has put in more and more complicated sounds when Windows starts to load. Like they can't match the beauty and immediacy of the Mac tone, so they try the my-startup-sound-is-longer-than-yours game. I think with XP they're up to an entire Rolling Stones album, a Beatles LP and half of Beethoven's Ninth. And Windows is still loading when it's all done. If you feel the need to match that, set your OSX to auto-login and play whatever you want at login.
To me, this is one of so many ways in which Windows just feels like a poorly designed toy. With its silly OS-loading noises, jarringly gaudy colors and bigger-is-better interface elements, how can it be considered a "serious" OS, and not something that fell off a Toys R Us truck? Oh, right, because it has more games. I forgot.