In the old Attribute Editor, the only ways to get out of it were to either click the OK button or Tab over until it was highlighted and then press Enter. Not too bad, unless you're A) a keyboard junkie and/or B) editing the first attribute in a block that has twenty.
But in the Enhanced Attribute Editor (long available in AutoCAD, now included in AutoCAD LT 2010), there's an even easier way: Ctrl+Enter.
Just like the Mtext Editor, that handy two-key shortcut closes the dialog and saves your changes. Of course, clicking OK and Tab-Enter-ing over to OK still work too, but in my opinion Ctrl+Enter is faster than both.