CTRL-ALT-L not locking screen Ubuntu 15.04 w/ Gnome

You can set the Keyboard Shourtcut for locking the screen and other operation in the keyboard settings:

I've the same problem and it's somehow related to the lightdm display manager. I use the following workaround. Right after logging in I open a terminal and run:

/etc/init.d/lightdm restart

This will restart the display manager and also kills the current X session. After logging in again all keyboard shortcuts should work fine.

You could use the GSettings configuration tool.

Open a terminal and fire this command:

gsettings set org.gnome.settings-daemon.plugins.media-keys screensaver "<Ctrl><Alt>l"

The default value is <Super>l

This could be related to this bug, also available as this GNOME bug where many shortcut keys stop working. If you have GNOME 3.16 I would look into it. There is not a fix out yet, but it is marked as high importance, so a fix may be released soon.