<p>How do I make <kbd>Caps Lock</kbd> work like <kbd>Esc</kbd> in Mac OS X?</p>

The only thing I know how to do is to map Caps Lock to Control, or Option, or Command.  This can be done via the Keyboard & Mouse pane of System Preferences.  Click on "Modifier Keys" on the bottom left and you'll be able to remap Caps Lock, Control, Option, and Command, to any of those.
@Craig:
This suggests that Caps Lock
can
be used as a normal -- that is, non-toggle -- key.  On my MacBook, since I have re-mapped Caps Lock to Control, the Caps Lock light never lights up.  It simply acts like the Control key.