I just discovered a cool hack, and I thought I'd share.
I mostly use Emacs under Windows. Recently I found out how to remap keys via the Registry (see http://www.howtogeek.com/howto/windows-vista/disable-caps-lock-key-in-windows-vista/
I remapped the (useless) CapsLock key to be the Windows-Right-Click key, which I guess is formally called the "Application" key. (Also I mapped NumLock to be CapsLock, in case I ever need that, because if there's one thing that's even less useful than CapsLock on a full-sized keyboard, it's NumLock). Note that you have to reboot for the mapping to take effect.
Finally, I added this line to my emacs init file:
(setq w32-apps-modifier 'hyper)
Now my CapsLock key is a fully-functional Hyper modifier! A whole keyboard full of mappings awaits. It even works in combinations, such as C-H-a and H-M-b.