I like menus that let me click on choices with the mouse as well as choose with the keyboard using either the arrow keys or typing the first letter of the option (said letter should be highlighted or underlined in this case). Some game, I think it was Halo, did this wrong. They let you select items in the menu with arrow keys but return didn't activate the selected item, instead you had to reach over to the enter key on the keypad. Or something like that, all I remember now is that for at least a week it would tick me off 5 times a day.

Hierarchical menus can be good, especially for settings submenus. The sense I'm using the term hierarchical is like this: clicking an option brings up new options but the old ones are still on the screen in a different column. Like in settings there might be a column on the left that says 'Display,' Sound,' and 'Network' which doesn't change till you're done playing with your settings and a column on the right with the options for whatever category is selected on the left.