This is one of those utilities that deserves mention here simply because I can't fit it anywhere else: VoluMouse. Hotkey + mouse wheel = instant volume control. The program also gives you a lot of flexibility over which hotkeys do what; even a guy like me (with a shiny multimedia keyboard!) can benefit from something like this. Enjoy.
It is a simple, extremely useful utility that could have/should have been built in to the OS.
Unfortunately, it is not quite ready for Vista, but a great utility for XP and Vista, when it works.