Here's a quick how-to on adding keyboard hotkeys (aka "keyboard shortcuts") with one of my favorite programs for mac, Quicksilver.
Step 1: Make Quicksilver aware of what you want to trigger. If you're adding a custom applescript (saved in your user's scripts directory ~/Library/Scripts/) first you need to make Quicksilver aware of the location of the script. If the program already exists, skip this step. Go Quicksilver (Menu) -> Catalog -> Scripts -> Select "Scripts (User)", then click "rescan source" button at the bottom-right of the window. This adds any newly-added scripts to Quicksilver's brain.
Step 2: Create blank hotkey action. To create a new (blank) hotkey action, go Quicksilver (Menu) -> Triggers -> Custom Triggers -> "+" button (bottom bar) -> and choose "HotKey":
Step 3: Select the program or script you want to run. After you click the "+" button (above) a blank line will be added (see yellow line in screenshot below). Double click that and a dialog will appear. Click in the top window of that dialog and start typing the name of the script/program you want to trigger with the hotkey. Select it in the pop-out window that appears. In the second window, select "Run". Then click "Save".
Step 4: Create hotkey association. Finally, click the tiny "key" icon at the right of the new action you've created (red circle below). A pop-out dialog will appear. Click in the "Hot Key" field and at that point, press the combination of keys you want to use to trigger your new event. In the example below I told Quicksilver to activate my custom "skip forward 3 minutes in currently playing iTunes track" script with the hotkey combination Option+Command+3. Check the box "On Press" and leave all other checkboxes and fields empty.