Hannah: I wish there was a keyboard shortcut to open system preferences.

Tantek: That would be useful, wouldn't it. ... Your wish is granted.

On Mac OS X 10.6 (likely works on previous versions)

1. From the Apple () menu, choose System Preferences...
2. On the Hardware row, click Keyboard
3. At the top of the window, click Keyboard Shortcuts
4. In the left column, click Application Shortcuts
5. Click the [+] (plus sign) button just underneath the right column
6. Make sure the Application: pop-up shows All Applications (or pick it)
7. In the Menu Title: field type System Preferences... (case-sensitive!)
8. Tab/click/activate the Keyboard Shortcut: field
9. Press the shift command comma keys simultaneously
10. You should see ⇧⌘, appear in the field
11. Click the Add button and close the System Preferences window
12. Click on the Apple () menu and note the System Preferences... ⇧⌘, menu item

Now no matter what application you're in, if you simply hold down the shift key and press command-comma (the normal application preferences shortcut), it will open System Preferences instead.

Afterwards I found this article on Macworld which explains pretty much the same thing in prose, however they recommend command-option-dash as a shortcut.

I prefer shift-command-comma for the System Preferences... keyboard shortcut because my muscle memory is already trained to think command-comma for the application Preferences menu item, and it's easier to just think "shift" (like shift-up to the level of the whole system) for system-wide preferences.

Update: On Mac OS X before 10.6, you may need to type in an actual ellipsis character (…) in step 7 System Preferences… (via @ljharb: 1, 2).