For completeness sake, Ctrl-Shift-Eject does more than just lock your computer. Locking your computer is an ancillary benefit to what it's really doing. Ctrl-Shift-Eject really brings up the "login" screen. If you have multiple accounts on the computer, you will see those appear. Normally, this isn't a problem, as it has the same behavior as just locking the computer.
However, on a corporate/enterprise machine, you will have multiple accounts (usually, your account, an "admin" rights like account, and the "corporate admin" like account). The problem arises if you are also using that machine to connect via a VPN to some corporate/enterprise infrastructure. If that VPN software isn't amenable to switching users without invalidating the VPN connection (which makes sense from a security standpoint), then, it will log you out of the VPN. So whenever I use the Ctrl-Shift-Eject to "lock the screen", it logs me out of the VPN, which I find highly irritating (logging in to a VPN is a time consuming process, given network latencies, and terrible interfaces, particularly coupled with large Enterprise wide VPNs that have a LOT of selections from an unsorted pick list for a Group Policy Selector - don't worry about it if you don't know what I'm talking about, but suffice it to say that logging in the VPN can be a minute+ long affair).
The only real solution I've found is what the-sleepy-dog posted, namely to use Keychain Access to make a lock appear on the system menu bar, of which one of the options is "Lock Screen".