First, check out some of the icons in the Mac’s menu bar. Click on any of the Time Machine, Bluetooth, AirPort, Battery (on a laptop), Clock and Account menus and you’ll find a command for opening that item’s associated system preference. (Option-click on the Sound menu to reveal a Sound Preferences command.)
Also, put your Mac’s Option and function keys to good use. On a MacBook Pro, for example, when you hold Option and press F1 or F2, the Displays system preference appears. Option-F3 or Option-F4 opens the Exposé & Spaces preference. Option-F5 or Option-F6 produces the Keyboard system preference. And Option-F10, Option-F11, or Option-F12 causes the Sound system preference to appear.