If you’re using an Apple keyboard (or many third-party keyboards with a dedicated audio volume button), you can adjust the volume up and down with the push of a key. For many people, that’s enough.
For those who need a little more control, you can adjust the volume in quarter increments (rather than whole increments) simply by holding Option + Shift keys while pushing the Volume Up or Down keys. You’ll notice on the Volume bezel that appears on screen that the volume is adjusting a quarter box at a time, rather than a whole.
And for those of you who are annoyed by the quacking/beeping/burping sound with every press of the volume key, you can temporarily mute that sound by using Shift+Volume Up or Down keys. Unfortunately, you can combine the two to make silent adjustments in small increments.
If you’re a Mac OS X user who hasn’t upgraded to Snow Leopard yet, but you want more control over the volume and sound output sources, PTH Consulting has a great little app that offers the same functionality as Apple’s built-in volume control menubar widget found in Mac OS x 10.6. 
PTHVolume (free) is particularly useful for Mac OS X users who, like me, have a nice set of external speakers set up on their Mac, but also like to use headphones at night or when anyone around you isn’t particularly interested in listening to your personal taste in music. As you can see in the screenshot at the left, you can adjust the volume for each source individually; something you cannot do with Apple’s built-in widget in Snow Leopard. Up until Snow Leopard, I was using this utility for a long time with no stability issues at all. It works perfectly.
You’ll want to take a look at StartupSound.prefPane, from Arcana Research. The system prefs pane does two things, it either mutes the sound, or allows you to adjust the volume. That’s it. Thankfully, it does those two simple tasks perfectly, and absolutely FREE! You can 
To fine-tune the Volume adjustment, hold the Shift and Option keys while hitting F4 or F5. This fine-tuning can be done with the Volume menu item as well, but it’s just easier to use the keyboard shortcuts. Update: This trick, as stated in the first sentence, is for Apple Laptops. While it may work with Apple desktop keyboards (I don’t have one hooked up right now, so I can’t check), it also may not work with any other branded keyboard. It’s also a Leopard-only trick.