I just noticed this - I think it's a Jaguar only feature.
Go into Keychain Access (in /Applications -> Utilities) and select View -> Show Status in Menubar. As expected, this puts the keychain menubar icon on the menubar. Click on the lock icon on the menubar, and there's a "lock screen" option (along with a couple of others). Ok, so all it does is activate the screen saver with the password option, but it's still helpful.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20020901073230521