Apple - Is there a way to start a specific application with a keyboard short cut?

As of Snow Leopard, this actually is built into the OS.

Launch Automator and create a service that receives no input from any application. From the Actions Library, add the 'Launch Application' action to the workflow. Select the 'Terminal' application in the drop-down list of Applications. Save your new service and then assign a keyboard shortcut to it in:
System Preferences -> Keyboard -> Keyboard Shortcuts -> Services

Assuming your running Snow Leopard ⌘+space will open Spotlight which can be used to run terminal.

Spotlight can be bound to another key combination but the default is similar to Windows+R.

If you have the Alfred Powerpack, you can add a hotkey in Alfred 1:

Or create a workflow in Alfred 2:

Hotkeys have a short delay by default in Alfred 2, but changing the trigger behavior reduces it: