Natively? Not all of them. Ubuntu has a program known as wine to utilize Windows programs underneath Ubuntu. Sometimes it works, sometimes it doesn't. I personally don't even bother with wine cause I find there are Ubuntu native programs that always compare to a Windows counterpart. At least, in my experience, since I don't use photoshop or anything of that nature. Photoshop is the one program that stands out as not working with Ubuntu... however, Gimp is always there, though it's not as heavy duty as Photoshop.
iTunes - No. iTunes does not natively work underneath Ubuntu. However there are a dozen fantastic media players that work great in Ubuntu, and some I'm sure work with iPods.
CS4 - I assume that's an Adobe product? If so, I'm going to say no.
Skype - Yes.
Aim - Yes, but the Aim client sucks in Linux. Get Pidgin - Pidgin is the new name for the older program known as "gaim" if you might remember. I use Pidgin in Windows and Ubuntu. I find it to be worlds better than what you find on aim.com. In fact, Pidgin is already installed when you fire up Ubuntu for the first time.
PowerDVD - Yes, but PowerDVD is one of those few programs that you have to pay for Ubuntu. Who wants to do that?
There's several movie players in Ubuntu as well, mplayer, movie player, totem, you can also download VLC (available in Mac, Windows, and Linux) which works very well. Check it out and see how you like it.