In Vista, there are at least two ways of incorporating this.
The first one is to use the Windows Sidebar. There’s a variety of gadgets available, amongst them various clocks. You’re not limited to one clock! Place as many as you are able to deal with on a day-to-day basis. The only prerequisite here is that you must be a Windows Sidebar user (and some resources to spare, perhaps). It does take up some screen real-estate, so it might not be suitable for normal aspect monitors (4:3 — as opposed to 16:9).

For those who don’t share an affinity with the sidebar, there’s also a built-in option that integrates with the system clock. Make the system clock visible by clicking on the the clock in the taskbar. Then, select the "Change date and time settings" link. Choose the "Additional Clocks" tab and voilà. Windows allows you to add two auxiliary timezones alongside . They’ll be displayed next to your local time when you click on the clock.