Can I assign a keyboard shortcut to bring up the Mac OS X Login Window? I’d like to assign an “Every Application” keyboard shortcut to bring up the login window, for when I step away from my computer. Is there a way to do this? (Lion-only methods are fine.)
If you want to assign alt ⌥+cmd ⌘+L to lock screen without installing any programs, in 5 minutes, I suggest you doing these three steps:


Create a Service in Automator and set "Service receives selected" to "no input" instead of "text".
(Still in Automator) add 'Run AppleScript' (search on the left "apple" then double-click).
In the script in place of  (* Your script goes here *) you copy-paste:

do shell script "'/System/Library/CoreServices/Menu Extras/User.menu/Contents/Resources/CGSession' -suspend"
Save and exit. (You can name your service "Lock Screen".)
Open System Preferences, Keyboard then in Keyboard Shortcuts tab and under Services you will find your service "Lock Screen" towards the bottom of the list.
Now, click on "none" next to "Lock Screen" to assign ⌥⌘ L to
your service. Actually I suggest rather ⌃⌥⌘ L because ⌥⌘ L is assigned in Finder.


Done. 

(For step 2 cudos goes to Lauri Ranta!)