Type "Hello, World!"

AppleScript, 50 bytes

tell app"System Events"to keystroke"Hello, World!"

Thanks to marinus for the suggestion.

Autohotkey, 20 bytes

send Hello, World{!}

Please don't count this one. I don't want to cheat out people who have actually done this with a language not meant for sending keystrokes. This answer is just for completion :P

C (Linux), 186 bytes

main(){char*s="Hello, World!",d[99],*c;fscanf(popen("tty","r"),"%s",d);int D=open(d,O_RDWR);for(c=s;*c;c++)ioctl(D,TIOCSTI,c);}

After applying ugoren's suggestions:

111 bytes

main(D){char*c,d[99];fscanf(popen("tty","r"),"%s",d);D=open(d,2);for(c="Hello, World!";*c;)ioctl(D,21522,c++);}