Ones I use all the time are:

Alt-D Moves focus to address bar and selects the current location
Ctrl-W Closes the current window/tab
Ctrl-E Moves focus to the search box
Ctrl-Q Thumbnail view of all open tabs
Ctrl=(1-8) Moves to the corresponding tab (ie, Ctrl-1 is the first tab, Ctrl-2 is the second, etc)
Ctrl-9 Moves to the last tab
Ctrl-F5 Refreshes the current page, ignoring cache
Ctrl-Enter When in the address bar, this appends www and com to the beginning and end of the text. For example, type "yahoo" into the address bar and press Ctrl-Enter and you will be taken to www.yahoo.com.

Others that are helpful to know:

Ctrl-T Opens a new tab
Ctrl-Click/Ctrl-Shift-Click Opens the link in a new background/foreground tab
Alt-Home Opens your home page(s)
Alt-Left Arrow/Backspace Navigate backwards
Alt-Right Arrow Navigate forwards
Ctrl-+/Ctrl--/Ctrl-0 Zooms in, out, and back to 100%
Ctrl-I/Ctrl-Shift-I Opens a floating/docked Favorites pane
Ctrl-J/Ctrl-Shift-J Opens a floating/docked Feeds pane
Ctrl-H/Ctrl-Shift-H Opens a floating/docked History pane
Ctrl-Alt-F4 Closes all tabs but the current one

(Edit: Note that some of these are locale specific.  To find out what is available in other locales, consult the IE help file.  In the English help, there is a link at the bottom of the main "Internet Explorer at a glance" page named "Internet Explorer keyboard shortcuts" which contains these shortcuts and more.)