Dockless Download Page
I've been using this for a while acutally.
Dockless makes programs not appear in the Dock: that's it. The process is straightforward and won't damage any applications as it just changes a single setting that is in all OS X programs. From what I understand, many parts of OS X such as Spotlight and Expose are applications with the aforementioned property turned off.
Be warned: A program not in the dock is not in +Tab so it cannot be accessed at all unless it uses a system tray icon to launch or has a window open. iAntivirus is great in this regard: I just use the system tray to do what I need with it. Dockless can undo anything it does but please think twice before turning on/off the dock icon for Finder/login.window etc... messing with system files can lead to system damage.
EDIT: WINDOWS folks have fun with OuttaSight... I've never used it but JonFawkes likes it ;)