A quick way to lock your Mac desktop is to hit Shift-Command-Option-Q to do a fast user logout. This logs the current user out of Mac OS X, which is one way to initiate a login screen when the Mac needs to be used again.

Update: inaminit says “If you have Fast User Switching enabled through the System Preferences/Accounts, you can just click on Login Window in the drop down menu from the menu bar to do the same thing.”

Other ways to lock Mac OS X include:

• How to Lock the Mac Screen with a Keystroke
• Lock the Mac Desktop through a Menu bar item
• Lockdown a Mac OS X Workstation with a Screen Saver hot corner

Each method has it’s own strengths and weaknesses depending on the user skill level, read through each of them to determine what fits your needs the best.