This comes again from the Fusion team, but applies to ESX as well. Go Fusion Team Go!
The main way is via VMware Toolbox. You’ll need Tools installed, of course, and the way you get to it depends on the guest OS you’re running. In Windows, right-click the VMware-three-boxes logo in the system tray and select Open VMware Tools. In Linux or Solaris, run vmware-toolbox. We don’t currently have a Toolbox for OS X guests, and I’m not sure about FreeBSD or Netware. You’ll need to have opened Toolbox as an administrator for some features.