One useful thing to do with the CapsLock key: Compose key! I happen to live in Denmark, but find my native keyboard layout rather less than ideal for programming - there are however a number of characters, that are needed to type in danish and not present on a standard us layout (e.g. æ, ø, and å). But using the CapsLock as compose key, I can have a us layout keyboard and lots of special characters take only three keypresses to produce.
Since I spent by far too long tracking it down - if you need this on Windows, AllChars (http://allchars.zwolnet.com/) does the job nicely.