Tim posted a list of handy Windows keyboard shortcuts. Someone pointed out in his comments that some of these don't work on all versions of Windows, such as Win + L which will lock your machine on XP & 2003, but not 2000.

Fortunately, this particular shortcut is easy enough to fix! Create a new shortcut on your desktop, hard drive, or elsewhere. Set this shortcut to run “rundll32 user32,LockWorkStation”. Once the shortcut is created, right click it, goto properties, click in the Shortcut Key text box, and press Win + L. Win + L will now lock your machine.

EDIT: Raymond Chen tells me I shouldn't be doing this rundll32 trick. I've never had it fail on me, and I don't exactly understand what would cause it to, so all I can say, while this trick works, one of the guru's behind Windows says don't use it., so, use the LockWorkStation entrypoint at your own discretion.