There has been a solution for this for several years and the first time I did this, I installed cygwin with X11 but there is a far simpler way to accomplish this.

Install XMing. I then used putty, which has the forward X11 option. Once logged in, running xeyes shows the window exported onto my Windows 7. Ah.. so much better.

I actually used this to run terminator to connect to a number of servers. Over local LAN, the windows didn't have any perceptible lag or delay. It was more or less like running it locally.

It is possible to set up shortcuts to run an application through putty and have it exported to your desktop. I haven't played with this enough to comment though.

This of course only worked because I have another box which is running Linux. If that is not the case for you, then you might want to try VirtualBox but since the linux kernel developers have described the kernel modules as tainted crap, you might want to consider vmware instead which is an excellent product.