Another method for Windows that works even if you access the site by IP:
From the command line, type route -p add <site's IP> mask 255.255.255.255 <unused network IP>.
To find <site's IP>, just type ping <site name>; to deduce a network IP, type ipconfig to get your IP, then you can normally add 1 to it. Even if that IP is used, it won't normally affect anything.
Example: route -p add 64.191.203.30 mask 255.255.255.255 192.168.0.3 would prevent you from accessing digg.com if you were on a private network 192.168.0.x. (If you want to really prevent access, use 255.255.255.0 instead for the subnet mask; that will reroute all IP's on 64.191.203.x.
To remove the routing table entry, type route delete 64.191.203.30.
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