Mac only: If you find yourself constantly digging into System Preferences to change your sound settings, free menu bar utility SoundSource sits in your menu bar and allows you to change sources and adjust volume from one unified menu.
This is particularly useful for those that do a lot of recording on their computer (switching between your Mac's built-in microphone and line-in port) or are a fan of previously mentioned RaopX and Soundflower combination for streaming non-iTunes audio over your AirPort Express. All you do is hit the menu bar icon and you can edit the source and volume for input, output or the system itself (meaning this doesn't have to take up more space in your menu bar — you can just replace your old volume icon with SoundSource). And, if you do find that you need to dig into preferences for something, you can jump to the Sound preference pane right from the menu bar.
SoundSource is a free download, Mac OS X 10.5 and above only.
Update: As many of you have pointed out in the comments, some of this functionally (specifically, the ability to switch input and output sources) is already available in the menu bar if you option+click the volume icon (Snow Leopard only). If that's all you need, then do that instead — no need for extra software. However, the added ability to adjust volume levels and access, say, MIDI setup is a nice addition if you're doing something a bit more involved (or if you're still on Leopard).