Images and icons look about the same because of integral scaling. But text in non-Retina apps looks clearly worse. The difference is that on a non-Retina display, text uses sub-pixel rendering. But with Retina, old apps use full-pixel anti-aliasing instead. (Those full pixels are then multiplied perfectly with integral scaling.) Not quite sure what Retina text on a Retina display uses, it's hard to eyeball.
Separately, other resolutions look pretty good. The highest is 1920x1200. The trick is they are also rendered in double-resolution (3840x2400) and then scaled down for the display (2880x1800). Because there are so many tiny pixels, the result is acceptable, but the optimal setting is definitely sharper.
So Retina apps at 1920 look pretty good, and non-Retina text at 1920 has smaller and slightly fuzzier full-pixel anti-aliasing.
This is because of how Retina is implemented on these new systems. In the Mac OS (and iOS for that matter), resources are doubled in size, therefore each point is roughly the 4 pixels.
To the system though, it still reports the 1440x900 size, even though the actual pixel count is 2880x1800. The Mac OS knows how to handle this looking for @2X resources or using native code to render things at a higher resolution offscreen before painting to the screen.
While on Windows though, it is outright seeing the 1440x900. Since Windows doesn't really have a built in way to handle the 'Retina' feature that the Mac does, things would be grainy. You would see the same problem on a Mac App that doesn't use native text or image rendering, that hasn't been updated yet.
So the only way to make it look crisp on your Windows install would be to run at 2880x1800 - which would be hard to see, or a higher resolution than 1440x900 that you felt comfortable with depending on stretching/artifacts/etc. That is until Windows does have some possible feature like this and implemented in a similar way.
When connected to your external display though, Windows is seeing the 1280x720 px, and rendering that correctly, but at whatever your native resolution is. Also, the pixel density on the larger display may be different.
It comes down to the easiest way to understand - the pixel doubling/retina features are an OS feature, not a hardware feature.
Best Answer
There are a great many games that support 2880x1800 and most of them support 2560x1600 (Cinema, Dell, and HP 30" resolutions)
Windows 7 & 8 don't support the quad-pixel and dual-pixel modes of OSX, they do things a bit differently. You always have the 2880x1800 resolution, and simply select larger font size (150% in my case).
Most games will work out fine, but some will need some tweaking (mostly selecting the option Disable display scaling on high DPI output on the compatibility tab.
If you regularily use an external monitor i would reconsider the retina display. Having upgraded to it from a 17" i5 I found out the hard way that neither OSX nor Windows can display different DPI to 2 monitors, hence my 30" Dell is pretty much useless.