Another Way to Force Quit
However robg, the man in charge over at Mac OS X Hints notes that this tip is pretty useless - if an application is stuck so much that you want to force quit it, it is unlikely to respond to menu clicks. To access force quit through the Apple menu you often have to switch to a working application before clicking it. The keyboard combination (Command-Option-Escape) still works no matter what the frontmost application is, but at first appearances adding in the shift seems to do nothing.
This is where the Mac OS X Hints community step in through a discussion in the comments. Turns out you can use the shift in the keyboard combination, but you have to hold it for a few seconds. Hold Command-Option-Shift-Escape for about 2 seconds and the current application will force quit without the hassle of the dialog box. Neat!
You can also force quit using the dock as noted before here on Mac OS X Tips. Right-Click (Control-Click) an application's icon in the dock and if it is not responding there will be a Force Quit option in the contextual menu. If the application appears to be fine, you will need to hold Option to change 'Quit" to "Force Quit". Note that with the Finder you need to hold Option before you Right Click to make "Relaunch" appear.