Ok, so this may be something everyone knows, but I just found out today. VNC has had the ability to do this from day one, so it's weird there is not a menu command for it using Remote Desktop.

I was terminaled into a server today and needed to change the password on my user account for that machine. (Windows 2000). So I really wanted to do a "CTRL + ALT + DEL". When I would do that, I of course would get the dialogue for my machine, not the box I was termed into.

Press "CTRL + ALT + END" that brings up the dialogue for the machine you are terminaled into.

http://support.microsoft.com/?kbid=186624

There are some other shortcut combinations on this site as well. Good stuff.