I came across this tool and think it’s awesome. I’ve been using it for a while and it works well.
MonitorES is a small windows utility that turns off your monitor when you lock your machine. It can also pause all running media programs and play when you return.
http://code.google.com/p/monitores/
Alternatively, there is MonitorES Lite for low end & corporate machines which only has the turn off monitor feature and is also available as an MSI for easy deployment.