@danwood
You can drag onto Wordpad's toolbar, but I agree it's inconsistent. Wordpad behaves like a 90's OLE demonstration. (Wordpad in Windows 7 is quite nice, though.)
You can often drag objects into text boxes and get a text representation, but that's also up to the developer. Windows is flexible, and its predominantly open API leads to wide variation in features and little adherence to UI guidelines.
Re: common dialogs (Open, Save As, etc.), they're usually just Explorer views, and apart from the special file selection behavior, they behave just like any other Explorer view.