But -please- do not implement it like it's done in Windows. Ctrl+Z in a file manager should always tell you what it's going to undo first and ask you to confirm. The menu item should also say "undo XYZ".
In Windows it's hard to predict what operations can actually be undone. Sometimes if you press Ctrl+Z thinking you're going to undo some operation, it will undo another one you performed ages ago. It can be hell to figure out what you just destroyed.
I can say pretty certainly that this is being implemented in the new 8.04. I haven't tested it myself, but you can see that it is implemented.
'Hardy Heron Beta brings you the latest and greatest GNOME 2.22 with lots of new features and improvements, such as a new Nautilus that uses GVFS as its backend. GVFS makes it possible to fix shortcomings of Nautilus such as the inability to restore files from trash, pause and undo file operations.'
I assume that there will be a CTRL + Z hotkey for it.