OS X now uses hibernation instead of old-fashioned sleep -- at least on MacTel machines. Risky, it's easy to shut a laptop, sling it into a bag, and walk off with the hard drive still spinning. (The way too small sleep indicator on the MacBook contributes to the problem.)
Worse, hibernation mode means someone can browse the disk image and extract the content of memory -- including usernames and passwords.
So this OS X Hint tells users how to: Disable Safe Sleep for faster sleep on lid close.
Personally I'll skip this one, but from comments I learned how to lock a screen quickly from the kb: Hold Command-Option and then tap the Eject button. The machine doesn't go to sleep any more quickly than tapping Power-S, but the lock is instantaneous (if you have the machine set to request a pw on wake from sleep). Handy when you're trying to get the laptop away from the kids. It doesn't work on every laptop apparently, but it's fine on my MacBook Core-2 Duo.