I never go through a door without touching my keys. Must have saved me hundreds in locksmith costs.
* The ignition (my car plays a chime if I open the door with the keys still in the ignition) * My pocket (self explanatory) * My lap (they will fall and make a racket if I stand up without grabbing them first)
My father's system: Only lock doors from the outside, using a key. It's hard to lock yourself out that way. (Not helpful if you live in an apartment with doors that lock automatically.)
Sometimes I'll do this while I'm using my phone, and momentarily freak out because my phone pocket is empty.