Control + Shift + Eject* | Locks your Mac so you will have to unlock it with your password. Note that this will also sleep the display but the Mac will continue to run. |
Command + Option + Eject* | Puts the entire Mac asleep. This is the same as clicking on the Apple-icon at the left-top and choose "Sleep". |
* Newer Macs: Eject = Power
To properly "lock" your Mac when using either of the shortcuts, you will have to enable Require password after sleep or screen saver begins (System Preferences → Security & Privacy). When not set to immediately, the configured delay will be used when using the shortcuts.