There appears to be a new Outlook add-in "on the block" that allows you to tag all Outlook items and filter, create actions, etc. based on these tags. Its called TagLocity.
I have used it somewhat... For me it doesn't come close to the ease of use of tags in Gmail. It is less transparent, less easy -- I find.
I must say that especially in Outlook 2007 Categories more than fulfill my needs: it is just the process which remains cumbersome.
Or so it seems
There is either easy tagging on the front end (delicious-style, so to say) but more work unifying tags and drilling through a tag cloud, or there is a bit more work upfront and you have easier, standardized access.