In KDE, go to the KDE Control Center.
Go to accessability
Under accessability, Keyboard Shortcuts (I think) allows you to use keyboard shortcuts for commands.
KHotKeys (again, I'm not totally sure, but it should be obvious) lets you launch applications with shortcuts.
Alt-F2 or sometimes Win-R brings up a little dialog where you can enter commands; both shell (bash) commands, launching programs, and gksu, which lets you run a certain program as root.
The last part you might know already, but I think it is very useful.