If you insert a CD or connect an external FireWire hard disk (or mount a DMG file), you can eject it in many ways. You can select it and press Command+E, drag it to the trash, or Control-click on its icon on the desktop and choose Eject from the menu.
I just discovered yet another way to eject mounted devices. You can Control-click on any part of the CDs or HDs open window and choose Eject from the menu that appears.
[Editor's note: After playing with this a bit, I'm not sure if it's a feature or a bug! On my system, if I control-click on the whitespace of a mounted device's top-level window, then I get an "Eject" menu. But if I drill down below the top-level folder, the Eject menu is gone. Quite odd, but still good to know this trick, especially for mounted DMGs.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20021121063604929