A long time ago I set up my computer so that it was easy to type accents, but with the recent Karmic release the settings are gone and since I forgot how to set it up. Now that I've rediscovered it, I can not only reset it but also blog about it!
So suppose you want to type French characters like é, ç, etc. In Ubuntu, you can activate these with the following steps:
1) Go to System->Preferences->Keyboard
2) Click the Layouts tab
3) Click the button saying Layout Options
4) Click the triangle next to the Compose key position
5) Choose which compose key you want. I use Right Win.
After that, you should be able to use the accented characters. You can do this by first pressing your compose key, then your accent (not at the same time!), and then the character. For example to do a é, I would hit the Right Win key, then the ' key, then the e key.
You can do special characters too, like æ, but those ones usually you have to figure out on your own (for those interested, that one is Right Win, a, e).