One of my customers doesn't allow user accounts to be in the local Administrators group, something I wish more companies would do. In fact over 90% of infections could be stopped by not logging in as an administrator; but I'll save that "soapbox" topic for another post.
Many times I need to change settings or install/remove software on someones PC without logging them out of the system, in which case I will go to %windir%\system32, shift+right-click CMD.exe and choose Run As...
Once I've opened a Command window with an account in the administrators group, I can start the Services MMC (services.msc), Device Manager (devmgmt.msc) or Computer Manager (compmgmt.msc), plus many more useful consoles from the command line. Often times I need to remove software or make a change to network settings which involves Control Panel Applets. These also can be run at the command-line (or Run... prompt if you're already logged in as an administrator), some of my favs are listed below.
Appwiz.cpl - Add/Remove Programs (or Programs and Features in Vista or Windows 7)
Ncpa.cpl - Network Connections (for changing IPs and DNS)
Powercfg.cpl - Power Options (perhaps for turning off Standby or enabling the Performance setting)
Sysdm.cpl - System Properties (lots to find here: Remote Desktop, Pagefile, System Restore settings, etc.)
Wscui.cpl - Security Center (change Automatic Updating, the Firewall and Malware monitoring)
Want more? Check out the Wiki page.