Is there a quick way to lock my Mac?

On Windows you can hit the keys Windows+L to lock your computer if you step away. I don't want to have to remember if sleep currently asks for a password, if there is a time out where my screen isn't locked during a short period. Even with Lion supporting resume of many apps, I don't want to log out. I do want to be sure data is secure when stepping out for lunch or a smoke break.