You can have a Mac client 'bound' to a server e.g. OS X Server and when you login with a user account defined on the server it will automatically connect you to your own personal folder (home directory) stored on that server. While logged in this way your desktop, documents, etc. folders are all on the server and everything you do is saved on the server.
The above is Linc is referring to and is a very standard setup in the Mac world. Note however that it is intended only for use on desktop computers as you need to be connected to the server to get at your files. If you use a laptop and take it out of the office where the server is then you will not be able to access your account and home directory.
For this situation of using a laptop a slightly different variation of the above is possible called "portable home directories" with this what happens is you still have an account and home directory on the server but they will automatically be copied to the laptop and kept automatically in sync. So any changes you make out of the office will be copied back to the server next time you plugin when in the office.
Completely different to the above is something in the Windows world called "Terminal Services". With this you run some software to connect to the server. You then on the server login as a user, and on the server it then runs all the programs and stores all the data. No applications or data is stored on the client device. With this approach you can only access the applications and data via the server so if you use a laptop and leave the office the only way to get at them is to have a VPN connection back to the office network.
Most people have not only never used such a solution with a Mac server but are unaware that there are Terminal Server style solutions for the Mac.
See http://www.aquaconnect.net and http://www.coderebel.com/products/irapp-terminal-server
As the above both support the Microsoft RDC protocol, it is in theory possible to use a Windows PC as a client or a dumb/thin client device as made by Wyse.
