On Windows, there are several well-known applications that contain integrated WebDAV client functionality, such as Microsoft's Office,  Adobe's Photoshop, and Macromedia's Dreamweaver programs. They're able to directly open and save to URLs, and tend to make heavy use of WebDAV locks when editing a file.
Note that while many of these programs also exist for the Mac OS X, they do not appear to support WebDAV directly on that platform. In fact, on Mac OS X, thedialog box doesn't allow one to type a path or URL at all. It's likely that the WebDAV features were deliberately left out of Macintosh versions of these programs, since OS X already provides such excellent low-level filesystem support for WebDAV.
 WebDAV support was removed from Microsoft Access for some reason, but exists in the rest of the Office suite.