And then they moved onto a different project, and their browser bookmark wasn't there.
And now they're not happy, because Windows lost their stuff.
(Because very little of what most people do can be compartmentalized that much - and Windows is great because it allows you to multitask, which you can't do if everything is in a different VM.)
Most people don't keep their filing system very organized and when it comes to bookmarks even less so. Context is often a more efficient way of recalling what you did than a directory name - particularly over longer periods of time such as several months.
And of course, you can multitask across virtual machines - I often have two or three open at once because I need access to software which runs on a legacy version of Windows and I run Facebook in it's own exclusive VM.
At the same time I will be working on a project on the host OS. And there is no need for interconnection between any of them.
And VM's solve a lot of legacy issues, cross platform compatibility issues (e.g. windows phone apps) and Microsoft has already developed methods of integrating VM's with the host (see Windows Virtual PC and XP mode integration).
If we're talking about having them all having access to each other, then I can't see what you gain by putting apps in different VMs.
And in my writing side projects, I may leave a project for several months. So that's where I realized the value of VM's - the one's I use have survived an upgrade from XP to 7 with the same open windows and without any software reinstallation (and of course without any recreation of bookmarks). I'll add that they are also descendents of previous virtual machines used for the same purpose but different projects. It is more efficient from a workflow perspective to have six copies of Open Office each pointing to the relevant context than to reconfigure one copy each time the context switches.
To put it another way, the way in which one develops software projects from a custom starting point and the way in which references persist across IDE sessions during a project due to saved state are not unique to software development. They are indicators of the features which facilitate efficient project execution timelines.