In previous versions of Finder that featured the 'Connect to Server...' choice in the 'Go' menu (Command+K), closing the window opened by selecting that command required either clicking its close box or pressing Command+W.
In Lion you can close the 'Connect to Server' window by pressing the Escape key.
[crarko adds: A small thing, but it is new. Apple now treats this window (properly I think) as a dialog box, so the use of Escape is consistent.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20110924124405438