One option you can activate in the Security control panel is the ability to lock the screen with a password when the screen saver is activated or the computer goes to sleep.

This is particularly useful for laptop owners, but is overall a quick way to lock up without having to log out. Many (myself included) left this feature turned off in Leopard because it was just too slow to respond after waking from sleep, but it’s much more speedy in Snow Leopard.

One quick way to dim the screen (and secondarily activate this feature) is to press control-shift-eject. Great for when you need to leave your desk in a hurry.