I just tried the magic scratch remover in a pen and was surprised how well it worked. Well, not like the commercial or anything, but once I got the hang of it, it worked pretty good. It pays to practice on hidden areas if you can.
I suppose it depends on how deep, if it's just a surface scratch, as mentioned above, the stuff in a pen works - it's bassically clear coat in a bottle. For something deeper, I would buff it out like the other posters have said.
I also went to the dealer with my paint code and got a small bottle of touch-up that works well for small chips. (Think nail polish.)