Browsing to programs and utilities in windows shell (explorer) takes several clicks and a lot of wasted seconds...whereas running those utlities from Start-->Run is quite convenient.
Well, you probably know how to get to the command prompt, calculator and may be even internet explorer from Start-->Run. Here is a guide that can get you to other places quicker.
Authors Page: http://home.iitk.ac.in/~sansor/commands.html
Some of my favorites
regedit - For Registry Editors
control folders - Folder Properties (where u get "view hidden files" option)
ncpa.cpl - Network Connections
notepad - google it :D
rsop.msc - Try it for yourself (especially if u r on a domain)
services.msc - Services management
eventvwr - Event Viewer