In Windows, it is possible to obtain the MAC address of the wireless access point you're connected to. This is handy when you have multiple access points with the same ESSID (i.e. "roaming") and want to know which one you're connected to. This is done with the netsh CLI tool, available since Windows XP.

To do this, start a command prompt, and type in:

netsh wlan show interfaces

This shows all wireless interfaces on your system. When your wireless is active and connected to an AP, you get output similar to this:

    Name                   : Wireless Network Connection
    Description            : Intel(R) WiFi Link 5100 AGN
    GUID                   : f5ad6606-3b9d-41b3-8e5b-91b870edd256
    Physical address       : 00:21:6b:9d:db:ec
    State                  : connected
    SSID                   : green
    BSSID                  : 00:23:69:94:0c:f9
    Network type           : Infrastructure
    Radio type             : 802.11g
    Authentication         : WPA2-Personal
    Cipher                 : TKIP
    Connection mode        : Auto Connect
    Channel                : 11
    Receive rate (Mbps)    : 54
    Transmit rate (Mbps)   : 54
    Signal                 : 99%
    Profile                : green

Note the line that says BSSID: this is the MAC address of the wireless access point.
This is not necessarily the same MAC as when you were to ping the access point through a wired network: most (if not, all) access points have two MACs, one for the wireless side, and one for the wired side.

As a bonus, in the output you can also see other neat statistics: the receive and transmit rate (bandwidth), signal strength, authentication type, etc. They are updated in real-time (i.e. each time you query the interface with netsh.

Inactive wireless

If your wireless interface is not active, you get output like this:

    Name                   : Wireless Network Connection
    Description            : Intel(R) WiFi Link 5100 AGN
    GUID                   : f5ad6606-3b9d-41b3-8e5b-91b870edd256
    Physical address       : 00:21:6b:9d:db:ec
    State                  : disconnected

This was tested on a Windows 7 64-bit, but should work on all XP and Vista boxes as well. There's a lot more you can do with netsh. Start it without parameters and check out its internal help to find out about all the goodies inside.