If you used to choose the Sleep option with TAB key after hitting the POWER button on your Mac, Lion may have your muscle memory befuddled. Never fear, there is a better way: just hit the “s” key after the POWER button, and that Sleep button will get selected without the TAB key two-step.
Additional tip, if you wish to invoke the POWER button from an Apple Keyboard, use Ctrl+Eject.

Yeah, that works less and less, though. It used to work pretty universally in just about any dialog and has been slowly going away. That’s why I got in the habit of tabbing vs. using a key.
In BBEdit if you hold down the Cmd key with a dialog open, it shows any keyboard shortcuts – awesome implementation there.
Spacebar instead of Return to select the focused but not default button is important these days too.
Or you could just press alt-cmd-Eject to instantly sleep your Mac.
I thought you used a launcher Alex. Alfred has a nice set of shortcuts for sleep, lock, and similar tasks. I used to run some scripts with Quicksilver to do the same thing before I switched. They come in very handy.
Thomas, Option + Cmd + Power doesn’t work to sleep a new Air.
Nick, Power Button + S is fewer “clicks” than invoking a launcher and typing “sle” then Return.