I don't think I can do better than link to Joel Spolsky's article: "Exploding offer season". While aimed at new graduates, it explains exactly how this works and how you should respond.
Occasionally companies are really looking to find someone to start in a couple of weeks - but it is very, very rare that they would rather have someone now than wait a week and get someone good. They will almost always give you a week or two to make up your mind. Remember that 'considering other offers' makes you look good in their eyes, not bad. However it's important that they don't think you are playing games with them. Give them a deadline by which you will get back to them, and stick to it.
If they say they absolutely must have an answer now, then that's like a car salesman who says the offer is only valid 'right now'. You shouldn't take it. The only reason they would want to stop you considering other offers is if they think the other offers would be better than theirs.