Is there a list somewhere of all the special characters I can type using the option key? OS X lets me type special characters directly on the keyboard by holding the Option. For example: — is an em dash, “ and ” are curvy quotes, etc.

Is there a good cheat sheet listing all these keys somewhere? I tend to find myself holding option and running my hands up and down the keyboard looking for a specific character.
There is indeed some software which will help you remind shortcuts.
You will find a list of official shorcuts here at apple.com.

To learn shortcuts, I find Eve the most appealing. Everytime you are using your mouse to execute a command or action, Eve will remind you of the shortcut which you can use for the next time.
Eve supports Mavericks, Lion and Mountain Lion.

Their are two more apps which are approaching an another attempt: CheatSheet and KeyCue.
They are giving you an instant overview of all shortcuts. Hold the cmd key for a couple of seconds, and a window will pop up with a cheat sheet. While CheatSheet is free, KeyCue costs $19.99