How to undo misclicks while drawing a polygon?

Delete/Backspace did not work for me, but Control+Z did.

The latest inserted vertices can be removed one by one by hitting either Del or BackSpace keys.

It really seems to be undocumented in the current QGIS 2.2 manual at http://docs.qgis.org/2.0/en/docs/user_manual/working_with_vector/editing_geometry_attributes.html. It would belong to the Adding Features section which tells at the moment only how to add vertices and finish digitizing.

For lines and polygons, keep on left-clicking for each additional point you wish to capture. When you have finished adding points, right-click anywhere on the map area to confirm you have finished entering the geometry of that feature.