List Local and Global Key Bindings in Mac OS X
I recommend KeyCue, if CheatSheet is not quite enough.

As Phill already mentioned, CheatSheet is great, because its fast, free and simple. But I noticed that for some applications (like Adobe Photoshop Lightroom) some shortcuts are missing from CheatSheet. KeyCue takes the shortcut game more serious, by showing shortcuts and their context more detailed. It helps you to create your own shortcuts and lets you exactly specify how and when they should trigger.