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