I am very slow. I know I need to use hot keys, and I can (most of the time) when a unit is selected, but do you have any tricks for grouping buildings or is it just a matter of quick clicking?

You always want to hotkey your buildings so you can watch a fight while you are still producing units, that way if you need to retreat you actually know you need to or something like that

For starters, put your nexus/cc/hatch as 4, and your rax/gate as 5. And of course your main army as 1. If you play zerg, try putting the queen on 5. Try to keep it simple, but never ever click on the things you have grouped. Once you get the hang of it, you can start grouping your advanced unit producing structures, splitting your main army into more control groups etc.

What race do you play?

Remember, if you want to add a new building or unit to an existing hotkey (let's say 1), you don't have to select them all and do "Ctrl + 1" again, you just have to click on the new unit/building and press "Shift +1". It doesn't seem that helpful at first, but it's really helpful as Zerg for being able to add a lot of expansions to the same hotkey as your main.

My usual hotkeys:
1 Main army
2 First scouting probe then spellcaster/important units in the army
3 Observer(s)
4 Nexi
9 Gateways until warp gate is done, then all my robos and stargates
0 Tech buildings

After I have warp gate researched I don't even hotkey my gateways, I just constantly look at the number which shows how many of them are active and use 'W' to warp in units.

Also could someone please remind me how to select all units (EDIT:I meant a unit type, like 'selecet all stalkers'.)? Apart from double clicking, that is.

  Watch this video. Always be "tapping".

" Also could someone please remind me how to select all units (EDIT:I meant a unit type, like 'selecet all stalkers'.)? Apart from double clicking, that is. "

And for me 4eWz9r

I play grid so it's 4qTq5e

Something I found and really like: Set control group 0 to the space bar, and put your CCs/Nexuses/Hatcheries there. This frees up one of your close number hotkeys and gets rid of that bloody "last event" button that always messes up your camera (mine, at least).

So, I have spacebar hatch, 1-4 armies, 5 barracks 6 factories 7 starports, 8 tech labs and 9 EBays/Armories

@Ben_H: I like to use f1 and f2 for locations, but I think I might switch f3 and f4 to call groups 8 and 9. Thanks for the idea.

as a protoss, I have the tilde key as one of my cameras and set it to a pylon so whenever i want to warp in, i click "tilde, w, etc."

My hotkeys are Tilde, 1-5, F1-F3 and Y. I use 6-0 for camera hotkeys of my bases and Ctrl+W for my camera hotkey of proxy pylon (Alt+W binds it)
1-3 army
4 gates
5 nexi
F1 robos
F2 stargates
F3 forges
Tilde observer

Playing on Grid, when transferring probes to gas, hit D and they will return any minerals they are carrying before continuing to get gas. At least I think it's D, I haven't played in a while.

Main army on 1

1-3 army

Here is what I do. I do 1 as zerglings 2 as next grouping of units (be it roach, muta, baneling, whatever.) 3 as another grouping of units, usually Infestors or (Mutas if I have hydras or roach) and then I group 4 for my whole army to move them as one. 5 would be hatch 1, 6 be hatch 2, 7 for hatch 3 and so forth. I find that that's the easiest route for me. I like to select hatches separately and quick look to them (double tap hotkey to jump screen to the selected item) and then inject larvae, since I will produce units in even groupings commonly to know how much resource and food I've used, then switch back to my army. I've practiced it a lot, so I can do it rather quickly. APM while doing this shoots to 250 minimum from my average of 130 to 170.  

at the start of the game;
1-scout probe
3-builder probe
4-nexus

then after I've scouted

1-army
2-spell casters
3-builder probe
4-nexus
5-stargate
8-robo
0-obs

Slightly off topic, but what are the advantages of Grid over the default hotkeys?

Okay so IMO.... Hotkeys are completely subjective!!! the game allows you to be as flexiable as you want it to be in terms of hotkeys..  you can rebind any key!! 
One thing is for sure, u must use them if you wat to get better! 
 
the hotkey setups proposed by the above are your everyday setups and a very good starting point!  Mine is: 
 
1 Nexus(s) 2 army 3 army 4 robo 5 Stargate and the rest harras!! im a high diamond works for me and also you may find a lot of people disagree with nexus on 1, but its COMPLETELY SUBJECTIVE.. MANY MANY pros use nexus on 1 and many on 4 and many on 5.. 
 
Whatever works for  you man.. but you have to learn to hotkey your NEXUS, ARMY!! AT LEAST