#ifdef is a sad necessity for portable C\C++ programming. This is a list of a few symbols that are often used for writing really portable programs (those that run on Unix\Windows\MacOS\Palm OS etc.). This list is meant as a quick reference, not an in-depth explanation.
_WIN32_WCE - defines Windows CE version (i.e. if defined, this is Windows CE)
_WINDOWS - usually mean compilation for Windows
__CYGWIN__ - compiled by gcc under CYGWIN (Unix emulation layer for Windows)
__MINGW32__ - compiled by gcc under Mingw32 - Unix portability layer for Windows
_UNICODE - on Windows means that TCHAR is WCHAR (or wchar_t) i.e. 16-bit unicode character. On Windows CE this is the only option.
__BORLANDC__ - set if compiled with Borland C compiler
_MSC_VER - defines a version of Microsoft C compiler
__GNUC__ - defined when using gcc
NDEBUG - defined if this is a release (i.e. not DEBUG) build
DEBUG - often defined for debug builds (opposite of NDEBUG)
_PALM_OS - compilation for Palm OS