After putting up with the lack of support for Windows 7’s jump lists in PuTTY for a while, I finally got tired enough of it to do something.  Nothing as cool as patching PuTTY to do them itself, but I wrote a wrapper which indexes the saved sessions, allowing the user to select which ones should be included in the list.

From the project page:

PuTTYJL is a wrapper and patch for PuTTY written in C# for .NET 3.5 and Windows 7, adding support for the new Jump Lists, allowing you to create jump list entries for saved sessions in the registry and optionally just launch the wrapper to start a default session in PuTTY.

Get it here.

Update 2014-12-01: PuTTY gained official support for jump lists in version 0.61, released back in 2011. You probably want to use that instead.