If you open Keychain Access (it's in Applications --> Utilities), in the Preferences there's an option to "Show status in menu bar." Activating this places a "lock" symbol in menu bar, which provides quick access to locking your screen, as well as locking the passwords in your keychain.
It basically just starts your screen saver and requires password to turn it off, but it's a nice way of doing it, particularly for people who don't like hot corners (such as myself).