Yes there is.

Quickly lock your computer when you leave your desk by hitting Win+L. As far as I know, there is no similar command in OS X.

-Timo

Ah ok, could add that. I've been always using the ctrl-alt-del way of getting there.

You could enable a key for that, or a mouse combination... or a screen corner with expose' or shortcuts. (But I hate when someone enables their screensaver from a corner..)
Or just enable the lock on menubar from Keychain Access, and lock it from there when you walk away from the desk (my preferred method).
Or pair a phone and set it so that when you are out of range the screen locks...