FWIW, The + and * registers appear to behave the same on gvim for windows. I think * is actually expected to represent the system clipboard.

  :help clipboard

Also another AWESOME tip , if you set an "a" among your guioptions, your visual selects and mouse selects automatically get copied to the * register.

  : help quotestar

I realize that X environments mainly do this already, but not the visual select. Most of my editing is through SSH so I don't get to use the gui features much. The only time I use gvim is in windows, so it was pretty revolutionary for me.