Note:
I went through the source files and had a look at the keypress events, and couldn't find any more than these.
Some of these will not work on non-Windows OSes, so keep that in mind some of these does not function.
However, it seems rather easy to add your own hotkeys if you dig into the functions available and know how to compile it yourself.
If there are any errors here or anything you want me to add feel free to drop me a line: rexxie[at]bfnation[dot]net.
Have fun, and thanks to the OpenTTD developers for developing such a great game!

- Rexxie

Basic hotkeys

Key: Effect:
Alt + Enter Enter/Exit fullscreen mode
Tab Fast forward (Hold button to fast forward, release to return to normal)

Normal ingame (no menu open)

Key: Effect:
Space Close error messages/news items
Delete Closes all windows
F1 Pause game
F2 Game options
F3 Save game
F4 Map
F5 Town list
F6 Subsidies
F7 Station list
F8 Finances
F9 Your company's general information (same as clicking on your HQ)
F10 Operating Profit Graph (Buggy, mouse will appear to be stuck, press a mouse button to fix this)
F11 Company League table
F12 Fund new industry
Shift + F1 Your company's trains
Shift + F2 Your company's road vehicles
Shift + F3 Your company's ships
Shift + F4 Your company's aircraft
Shift + F5 Zoom in
Shift + F6 Zoom out
Shift + F7 Railroad construction menu
Shift + F8 Road construction menu
Shift + F9 Dock construction menu
Shift + F10 Airport construction menu
Shift + F11 Plant trees
Shift + F12 Jukebox
Arrow keys Scroll around the map
Shift + Arrow keys Scroll faster
A Toggles autorail mode
Z Zooms in to the mouse pointer's location
C Centers screen at mouse pointer's location
X Toggle transparent buildings
Ctrl + Q Quit to OS
Ctrl + A Disable AI players
Ctrl + B Play as computer (Careful, this will crash your game if you do not have any AI players)
Ctrl + S Take screenshot
Ctrl + D Toggle double-mode (window mode only) Note: In the SVN version this seems to center the top menu.
Ctrl + G Takes a screenshot of the ENTIRE map - This will take a few seconds and will seem to "freeze" OpenTTD. Also note that these screenshots are HUGE, 16352x8192 pixels on a default sized map and each screenshot takes up around 130 mb as BMP, 15 mb as PNG and 75 mb as PCX, so be careful about taking too many of them :)

Scenario editor

Key: Effect:
F1 Pause game
F2 Game options
F3 Save scenario
F4 Land generation tool
F5 Town generation tool
F6 Industry generation tool
F7 Road construction
F8 Plant trees
F9 Place sign
F10 Jukebox
F11 Land area information tool

Railroad construction

Key: Effect:
1 to 5 Build railroad track
6 Demolish tool
7 Lower land tool
8 Raise land tool
A Autorail mode
T Build tunnel
S Place signals
C Convert rail to checkpoint
B Build bridge

Road construction

Key: Effect:
1-2 Build road
3 Demolish tool
4 Lower land tool
5 Raise land tool
T Build tunnel
B Build bridge

Bridge construction

Key: Effect:
1-9 Select bridge

Various hotkeys

Key: Effect:
Alt + 0 Crashes the game, used by developers - so stay away from it ;)
Alt + 1 Give £10 000 000/$20 000 000
Ctrl + R Forces a redraw of the screen.