Modifier Keys:

Command: The Command key, identified by the cloverleaf symbol () and Apple logo () also used to be known as the 'Open Apple' key.

Apple's documentation states that, "Pressing the Command key at the same time as a character key tells the application to interpret the key as a command rather than a character. It can also be used with the mouse to modify the effect of a click or drag. "

This idea of a "command" key being specifically used for commands is important when considering the creation and modification of custom keyboard shortcuts.

Option: The Option key is most often used to modify the effect of an action. A common implementation of this idea is that pressing the Option key while clicking and dragging an item will create a copy of itself. (found in the Finder, Mail, and GarageBand applications to name just a few)

Control: The Control key is not used all that much in many apps, which means that it's mostly wide open for your use in custom keyboard shortcuts. One program I know of is Apple's DVD Player, which uses Ctrl-C as its shortcut for showing and hiding the remote control.

Globally it is implemented as a contextual menu key. Clicking the mouse while holding Control will produce an appropriate menu for whatever is being clicked on. This is the behaviour a two- or three-button mouse will display by default when 'right-clicking' in OS X.

Shift: Holding the Shift key will allow multiple selections to be made in many applications.Some programs will use the Shift key as a 'constrain' modifier key, to cause an oval tool in a graphics program to produce a perfect circle, for example.

Keyboard Shortcuts

Global Shortcuts:

Focus on the Menubar: Ctrl-F2
Focus on the Dock: Ctrl-F3
Open 'Sound' preference pane: Option-Any Volume Key
Open 'Displays' preference pane: Option-F15
Eject on keyboards with no eject key: F12 (OS X)
Sleep/Restart/Shut Down Dialog: Control-Eject (OS 9 & X)
Open the Force Quit dialog box: Cmd-Option-Esc

Most Applications, including the Finder:

Copy file, selected text, icon: Cmd-C
Cut file, selected text, icon: Cmd-X
Paste file, selected text, icon: Cmd-V
Undo last action: Cmd-Z
Select all: Cmd-A
Open while closing the enclosing window: Option-Cmd-O

Other lists of key commands:

Dave's Magical Macintosh Key Sequences

Apple Knowledge Base: Common Mac OS X Keyboard Shortcuts

Apple Human Interface Guidelines: Keyboard Shortcuts Quick Reference

Apple Developer Connection Documents: Keyboard Shortcuts Reserved by the System