I've always remapped my caps lock key to escape in windows/linux, but having just recently moved to OS X I can't seem to find a way to actually do this. Any idea as to how to set this up? Xmodmap seems to only be respected by x11 applications, and I'd highly prefer this to be system wide.
There's a Preference Pane called PCKeyboardHack that lets you remap keys based on a keycode. Remap Caps Lock to keycode 53 (the escape key).
Given that PCKeyboardHack works at the driver level, it works system-wide. I installed it and tried it myself, and it did what I think you want (when I press the key labelled 'Caps Lock', the action that would normally be triggered by pressing the Escape key is performed).
You cannot easily do it out of the box. What you can do is remap capslock to some other key you don't use, e.g. the Help Key. Then you can use another key remapper software to remap the Help Key to ESC.
See here for details.