A good shortcut to know for changing the brush size in Photoshop CS2-CS4 is to use the [ and ] (left and right square bracket) keys. Each time you press one of these keys, the current brush will decrease or increase in size. Add the shift key to change the hardness of the brush edge. This works with most other tools besides the Brush tool, such as the Magnetic Lasso, Erasor, History Brush, Blur, Dodge/Burn, etc.
If you have Photoshop CS4 running on a computer that supports OpenGL (choose Preferences > Performance to see if your computer supports this) there is an even better shortcut.
With any brush or painting tool active, use the shortcuts below to precisely change the brush size by dragging with the mouse. You will see immediate, interactive on-screen feedback as you drag.
Change brush size: option-ctrl-drag
Change brush edge softness: command-option-ctrl-drag
Change brush size: alt-right mouse button drag
Change brush edge softness: shift-alt-right mouse button drag