First, a simple one: you can drag a file or folder from Explorer to the CMD window. The path to that file/folder will appear as text which you can use in a command. Pretty spiffy.

Second, short-cuts to the Run command in the start menu.

1) You can drag-drop the run command straight to your quick-launch bar or desktop.
2) You can just press Window Button-R.

Both of these were shamelessly stolen from Raymond Chen's Blog.