Caffeine is a tiny program that puts an icon in the right side of your menu bar. Click it to prevent your Mac from automatically going to sleep, dimming the screen or starting screen savers. Click it again to go back. Right-click (or ⌘-click) the icon to show the menu.
Important: Caffeine lives in the MENU BAR, and this is where its state is indicated. App Store puts the Caffeine icon in the dock, but you can just remove it if you want to.