Click on the foreground color swatch located at the bottom of the tools palette to open the color picker. Click and hold in any area of Photoshop to change your cursor to an eyedropper. Now drag your mouse outside of Photoshop and release over the color you would like to sample.

Note: you will need to have Photoshop un-maximized so that you can see the application or browser you are needing to sample colors from.

Two things to update about this one.

1. If you have a dual monitor setup you can go from one to the other to select colors from a website, image, etc and still have Photoshop maximized.

2. This trick works anytime the eyedropper is available.

I use it 100s of times a day and I do it by holding ALT. Holding ALT is the quick way of loading the color picker eyedropper. Releasing it goes back to your previous tool.

So... I normally depress ALT, Click in my image, hold my mouse button, release ALT, pick my color, release my mouse button.

That gives me my color and takes me back to my previous tool. I do it without even thinking these days... it's more of a "I need that color, select it"...

This is one of my favorite Photoshop tips/tricks of all time.