Is there a list somewhere of all the special characters I can type using the option key?

OS X lets me type special characters directly on the keyboard by holding the Option. For example: — is an em dash, “ and ” are curvy quotes, etc.

Is there a good cheat sheet listing all these keys somewhere? I tend to find myself holding option and running my hands up and down the keyboard looking for a specific character.

In the "Input menu" in the menu bar (to switch on System Preferences -> Language and Text -> Show Input method in menu bar.. Make sure Keyboard and Character Viewer in Select Input Methods to use is selected)

And you have your cheat sheet.

There is indeed some software which will help you remind shortcuts.
You will find a list of official shorcuts here at apple.com.

To learn shortcuts, I find Eve the most appealing. Everytime you are using your mouse to execute a command or action, Eve will remind you of the shortcut which you can use for the next time. Eve supports Mavericks, Lion and Mountain Lion.

Their are two more apps which are approaching an another attempt: CheatSheet and KeyCue.
They are giving you an instant overview of all shortcuts. Hold the cmd key for a couple of seconds, and a window will pop up with a cheat sheet. While CheatSheet is free, KeyCue costs $19.99

Apple moved things around. Starting with MacOS X 10.9 Mavericks you must go the the "Keyboard" preference pane, then to "Input Sources" and there you can activate "Show Input menu in menu bar".

original answer from 2010-10-01:

In the preference pane "International" under "Input Menu" activate "Character Palette" and "Keyboard Viewer".

You will then have access to the "Keyboard Viewer" in the menu bar.