Enable click-through, preferrably for all applications I would like to enable click-through on all windows. Is this possible on Lion?

To be more specific, "click-through" as defined by Apple in the Mac OS X Human Interface Guidelines means "that the user can activate the item when the containing window is inactive."  


  An item that provides click-through is one that a user can activate with one click, even though the item is in an inactive window. (To activate an item that does not support click-through, the user must first make the containing window active and then click the item.) Although click-through can make some user tasks easier, it can also confuse users if they click items unintentionally.
The short answer is "no", there is no general way to do this.  To quote from The Mac OS X Human Interface Guidelines


  Click-through is not a property of a class of controls; any control, including toolbar items, can support click-through. This also means that you can support click-through for any subset of items; you do not have to choose between supporting click-through for all items in a window or none.
  
  [...]
  
  Avoid providing click-through for an item or action whose result might be dangerous or undesirable. Specifically, avoid enabling click-through for an item that:
  
  
  Performs a potentially harmful action that users can’t cancel (for example, the Delete button in Mail)
  Performs an action that is difficult or impossible to cancel (such as the Send button in Mail)
  Dismisses a dialog without telling the user what action was taken (for example, the Save button in a Save dialog that overwrites an existing file and automatically dismisses the dialog)
  Removes the user from the current context (for example, selecting a new item in a Finder column that changes the target of the Finder window)
  Clicking in any one of these situations should cause the window that contains the item to be brought forward, but no other action to be taken.
  
  
  Note: Programmatically, supporting click-through is a matter of disabling click-through for items that should not provide it. This is because click-through is supported by default in all Cocoa controls.


In other words, click-through is enabled (or not) on a control-by-control basis with thoughtful consideration as to the consequences of allowing it. It is not a general property of a window or the window manager.