Is there a way to close the lid on a MacBook without putting it sleep?

"You most definitely can. It is even documented on Apple Support
tl;dr: Plugging in an using an external keyboard and mouse will wake the device, even if the lid is shut

Apple Portables: How to use your computer in closed clamshell (display closed) mode with an external display
If you are using a wired keyboard and mouse:

Make sure the computer is plugged in to an outlet using the AC power adapter.
Connect a USB keyboard and mouse to your computer.
With the computer turned on connect the Apple portable (using the appropriate Apple adapter if necessary) to the appropriate port on the external display or projector and turn the display or projector on.
Once your computer's Desktop appears on the external display, close the computer's lid.
Once the lid is closed, wake the computer up by either clicking your mouse button or by pressing a key on your external keyboard.

You should now be able to use your Apple portable as you normally would, using your USB keyboard and mouse.

The process is a little bit different if you are using a wireless keyboard and mouse. To check that out, or and further details, see Apple Portables: How to use your computer in closed clamshell (display closed) mode with an external display on Apple Support."

I've just started using NoSleep, it seems wonderful and does the job cleanly (http://code.google.com/p/macosx-nosleep-extension/).

"I do this without an external keyboard or mouse - I use synergy to connect to it over the network instead.

When I close the lid it goes to sleep, I then have one of two ways of waking it.
One way is to plug in a USB device (usually my external hard drive I use for Time Machine).
The other way is via wake-on-lan - I run etherwake on my Linux box with the Macbook's MAC address and it wakes up.

Wake-on-lan only works if you had put the computer to sleep via the menu option - it won't work if you put it to sleep by closing the lid.
USB connections always work though.

I think both these options may need enabling in the Macbook's preferences - I can't be 100% sure as I set it up this way ages ago."

Also if you're running windows you can just change what closing the lid does in the power options. Handy for anyone on bootcamp who wants to do this

If you turn on Internet Sharing in the Sharing Control Panel, your MacBook will not go to sleep with the lid closed.