ALT + F2 doesn't work by default in GNOME Shell under Ubuntu 11.10 Oneiric Ocelot. To fix it, open "System Settings" and under Keyboard > Shortcuts > System, click "Disabled" next to "Show the run command prompt" and press ALT + F2 - this should set ALT + F2 for running the command prompt.
Source: http://www.webupd8.org/2011/10/things-to-tweak-after-installing-ubuntu.html
