I can't believe I didn't know about this shortcut until just today!
Did you know that you can start the task manager in Windows by pressing CTRL+SHIFT+ESC!??!! I didn't until just now. :)
Now, if you're still using the crappy task manager that comes standard with Windows, might I recommend SysInternals' (now owned by Microsoft) Process Explorer. It's an amazing utility (as are all of the utilities that have come from SysInternals) that really comes in handy.
-- EDIT -- To replace the default task manager with Process Explorer, choose Replace Task Manager in the Options menu (thanks Justice!).
I automate this setting during a custom unattended Windows installation* by using the following.reg file:
Windows Registry Editor Version 5.00
[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Image File Execution Options\taskmgr.exe]
"Debugger"="\"C:\\PROGRAM FILES\\SYSINTERNALS UTILS\\PROCESS EXPLORER\\PROCEXP.EXE\""
* more explanation on automating this in the upcoming Pimp Your OS - Part 2. Yes, I promise, it is actually almost done.