I do exactly what Caron suggests, but I go one better: I have created symbolic links from the GCFs installed under the Mac copy (/Users/<me>/Library/Application Support/Steam/SteamApps/) to the same location under Crossover (/Users/<me>/Library/Application Support/CrossOver/Bottles/<steam_bottle>/drive_c/Program Files/Steam/SteamApps/), as well as for games that live in the common folder and in the SteamApps/<user>/ folder. For Windows-only games, of course, I install them from within the Windows version of Steam under CrossOver, and I don't bother to sym-link them over to the Mac side, because there's no point.
For games that run under Windows and Mac (I play a lot of Garry's Mod and TF2, for example), Steam seems to just "do the right thing", downloading the appropriate platform executable (e.g. hl2_osx for Mac, hl2.exe for Windows) without disturbing the other.
This saves LOADS of disk space, and means that I only have to endure a single download for each update.
Incidentally, some cross-platform games, notably Killing Floor, run way better natively on the Mac than under Crossover. Others (L4D, L4D2) seem to be about the same regardless. I end up running Garry's Mod under CrossOver more than natively because Garry didn't have all his Mac ducks in a row for a couple of recent revisions.