Windows: If your keyboard doesn't have handy volume controls, or you just want something that requires no effort at all, free utility Volumouse lets you control your PC's volume with your mouse wheel.Volumouse is quite customisable, letting you specify conditions that must be met before your mouse wheel controls the volume (e.g. whenever the left mouse button is pressed down, or whenever you're mousing over the taskbar). That way, you still get the scrolling capabilities of your mouse wheel but get some serious customisation as far as volume control goes. You can create up to 12 different rules spanning all sorts of different situations.
We mentioned Volumouse way back in the day, but it has updated quite a bit. The Volumouse 2 beta is 64-bit ready, meaning you can use it in both 64-bit and 32-bit applications without running two instances. It also lets you create application-specific rules by hitting the "More" button next to a rule, which is really nice (especially for gaming). Of course, you could do all of this with AutoHotkey too, but if you want to get more intense about your configuration, Volumouse makes it super easy.
The Volumouse 2 Beta is a free download for Windows only.