One thing to note is that the AE lock button can be configured (deep in the menus!) to either be 'hold' or 'toggle'.
In hold mode, you need to keep the button pressed to keep the AE lock, in toggle you press to lock, then press again to release. Either way you will see a '*' in the viewfinder / rear display to show when it is locked.
I found setting to toggle was much easier to use, but did occasionally forget to release after I had taken the shot...
AE lock is also useful if taking panoramas, as you want them all to have the same exposure.