In addition to xp_cmdshell, there are several system ESPs that support Windows features, such as the integration of SAP ASE with the Windows Event Log or mail system.
xp_cmdshell
xp_deletemail
xp_enumgroups
xp_findnextmsg
xp_logevent
xp_readmail
xp_sendmail
xp_startmail
xp_stopmail
See, System Extended Stored Procedures, in the Reference Manual: Procedures for information about the system ESPs, and the Configuration Guide for Windows discusses some specific features in more detail, such as Event Log integration.