Windows only: Tiny utility MonitorES pauses your media player, turns off your monitor and sets Google Talk to away whenever you lock your PC.
Using the utility is a no-brainer: just start it up and choose whether to start the screensaver or turn off the monitor when you lock the workstation—the options for pausing media or setting your messenger status are under the Options button. Once it's running, locking your workstation with the Win+L shortcut key combination will also turn the monitor off at the same time.
MonitorES is free and open source, available for Windows only. If you simply want to shut the monitor off without anything running in the background, I've written an article about how to shut off the monitor and alternately lock your PC with a shortcut, or you can use previously mentioned PushMonitOff to turn off the monitor.