On Windows I use KeePass 2 [1] with the KeeAgent [2] plugin. The keys will be protected by your master password, and it will act like pageant so most tools will automatically recognize and use the keys. You can configure it to automatically let all applications use the keys, or first prompt you before providing the key to the user.
You can keep the database file on an USB stick or even something like dropbox or owncloud [3].
[1] http://keepass.info/index.html