There are lots of ways of quickly accessing control panels. Victor Laurie has an especially verbose page on this topic.

One thing I've always wanted is a quick way to bring up the Windows Components Wizard. The manual way is Start, Control Panels, Add/Remove Programs, Add/Remove Windows Components. Too slow! With a little help from Victor's page, I found the command:

control appwiz.cpl,@0,2

Goes right to the Windows Components Wizard - excellent!