This is just plain wrong.

http://images.apple.com/macbookair/images/design_multitouch....

The | character is under the delete key above return.

Completely agree, I had a MBP and a MBA with German (qwertz) keyboard and Apple's layout sucks big time.

I think your character must have come across wrong, or you're referring to non-US MacBooks? | is shift-\ just like everywhere else. alt-shift-l gives me a Ò.

(This was typed on a MacBook Pro)

It must be on Azerty keyboard then. Each time I have to work on a mac I need to ask how to type the pipe character.

Yes the AZERTY Apple keyboard is full of suck (then again, so's the base one — at least the french layout, AltGr + 6 for a pipe? How about no?)

You must be on a non-US English keyboard; on the US English keyboard, | is between Return and Delete, with \. alt-shift-L produces Ò for me.

This is absolutely not true - I know because I'm looking at one right now. I would say Mac laptop keyboards are the best that exist. Thinkpads are the only thing that come close, and they only come close.