I frequently use the "Run" command that is located on the start menu (by default on Windows XP - you must enable it with Vista) to quickly launch apps such as calculator (calc) or the control Panel (control).  You can access it by going to the Start Menu and then clicking Run, but power users will want to use the WindowsKey + R. 

Here is a list of commands for Windows XP. 

Here is one for Windows Vista.

Incidentally, to enable the Run command in Vista, just right-click on the Start button, click Properties, then click Customize. Scroll down the list until you see "Run command".  Check the box.