I sometimes use the feature \'Reconcile Offline Work...\' found in Perforce\'s P4V IDE to sync up any files that I have been working on while disconnected from the P4 depot.
Will's suggestion of using .p4ignore only seems to work with the WebSphere Studio (P4WSAD) plugin. I just tried it on my local windows box and any files and directories that I listed were not ignored.
Raven's suggestion of modifying your client spec is the correct way under Perforce. Proper organization of your code/data/executables and generated output files will make the process of excluding files from being checked in much easier.
As a more draconian approach, you can always write a submit trigger which will reject submission of change-lists if they contain a certain file or files with a certain extension, etc.