<p>With Windows 7 probably going to RTM next October (and DirectX 11 with it), would it be worth waiting for DirectX 11's explicit GPGPU features, meaning it will be cross-platform (ATI/Nvidia, not Windows/Linux/Mac/Whatever); or should I create a CUDA application now?</p>

From a learning point-of-view I think you would benefit from starting with CUDA now, since it will help you a lot with thinking in data-parallelism which is what the GPUs are good at. Then when/if you turn to DirectX 11, you have a good foundation for working with it, but it depends on the kind of time you have available (i.e. if you have time to experiment with stuff just for the learning experience).
Alternatively, the mac people are pushing for OpenCL (Open Compute Language) to be the general solution, though not much is known at this point. This is another technology you can wait for and check out.
The Microsoft PDC conference is held later this month, maybe they will announce some useful info on DX11 to help you make up your mind.
My general advice would be that I think there is a lot to learn now which you will be able to use later (with DX11 or OpenCL) but that you have to ask yourself if you are willing to learn some technology which might not make it in the long run. Anyways, these are just my thoughts, I don't have a huge amount of experience with CUDA yet.
On a highly speculative note, my gut feeling is that APIs such as CUDA won't survive for long and that DirectX and/or OpenCL are the only solutions which have a future (Unless they really botch their implementations, which I doubt).