2004 - Virginia Madsen wins the lion's share of critics' awards. At the Globes, Natalie Portman wins. At SAG, Cate Blanchett wins. At the Oscar, the voters suddenly go, "OMG Cate Blanchett never won!!! We're sorry about Elizabeth now" and give her the Oscar.
2005 - Amy Adams wins the lion's share of critics' awards. At the Globes and after, though, it's all Rachel Weisz, Rachel Weisz, Rachel Weisz, and she ends up winning the Oscar.
2006 - Jennifer Hudson wins some critics' awards, more so than the other ladies mentioned here I think, but Cate Blanchett and Rinko Kikuchi got most of the critics' awards. I think. This is probably the exception to the rule, since everyone was like "JENNIFER'S GOING TO WIN" since Day 1.
2007 - Amy Ryan wins the lion's share of critics' awards and everyone says that her race is over like two weeks into the award season. By the time the Oscars roll around, Best Supporting Actress ends up being the most exciting race of the whole night, and the unexpected Tilda Swinton gets the gold.
2008 - Penelope Cruz seems to be the early frontrunner with her many critics' awards. But Kate won the most important critics' award (BFCA) and if the foreign- and Vicky Cristina Barcelona-loving Globes didn't give Pe (I was in Spain for like four months, I can officially call her that) the prize... she's not totally out at all, but I think people overestimate her chances at this point.