I don't know which OS version this first appeared in, but I've never read about it before and just found this out while playing in 10.2. Here is the trick:
Press the 'shift' key five times; then press for instance the command, option, control and shift key after another. See the icons? Try and drag them with your mouse; yes you can do that ;-). What you just did is trigger the Universal Access keyboard panel. Find it under System Preferences -> Universal Access -> Keyboard. First item. If you didn't see any key icons on your screen, you might want to turn on the second option. And the first one also because it's fun.
I have no idea what this is useful for but it is very weird pressing shift five times without knowing what you just did and finding out that the key icons appear on your screen :-D. Have fun with it.
[Editor's note: While fun and interesting, in all seriousness, this is a critical concern for users who don't have traditional access to the keyboard. Having the ability to have the modifier keys 'stick' makes it possible for these users to send keyboard commands that would otherwise be impossible.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20030114062213918