This is actually one of the few things in OS X that drive me nuts. It's tremendously useful, but because there's little visual distinction between a focused and unfocused window, I'll start typing in a window I've just been scrolling and realize I'm issuing random commands to Mail.app on my other monitor.

Mavericks' blessed addition of per-screen menu bars has the nice side effect of making this a little more noticeable: The menu bar is transparent on a screen without the active window. Terminal.app also can be customized to make inactive windows partially transparent. I wish that option were system-wide.