How can a bring the windows of an application on the primary display? For some reason my Air still uses its own LCD when the lid is closed, so that I often find that an apps windows are all on a display that I cannot see.

Is there any way of bringing them to the primary display without randomly clicking and dragging in the hope of hitting a title bar?
Although the issue is rather strange, you can always take a look at some of the utilities suggested in this stack exchange question. I personally use SizeUp so I'm able to move windows from one display to the other at will (something I do fairly often).