More Mac 101, tips for Mac beginners. Sure, you can use the volume key on your MacBook or Apple keyboard to do quick volume changes, but that doesn't adjust the volume that precisely. If you want to fine tune your volume, you have to either open System Preferences or click on the volume icon in the menu bar. However, you can also tweak the volume by holding down the option + shift keys and tapping the volume up/down keys on your keyboard. Note that this is a Leopard-only trick, as pointed out by our commenters.
As an additional note, you can also hold down the shift button while pressing the volume keys to mute the "pop" that you hear when pressing the volume key. If you want to permanently silence the volume-adjust beeping, uncheck "Play feedback when volume is changed" in the Sound Effects preference pane and it won't bother you again (helpful for podcasting or other situations when you might need to adjust your volume on the fly).