Looks like just about everyone else on StackOverflow has contributed an answer (23 answers so far), so here's my contribution for C#. This is mostly based on the answer by M. Katz, which in turn is based on the answer by Grumdrig.
   public struct MyVector
   {
      private readonly double _x, _y;
      // Constructor
      public MyVector(double x, double y)
      {
         _x = x;
         _y = y;
      }
      // Distance from this point to another point, squared
      private double DistanceSquared(MyVector otherPoint)
      {
         double dx = otherPoint._x - this._x;
         double dy = otherPoint._y - this._y;
         return dx * dx + dy * dy;
      }
      // Find the distance from this point to a line segment (which is not the same as from this 
      //  point to anywhere on an infinite line). Also returns the closest point.
      public double DistanceToLineSegment(MyVector lineSegmentPoint1, MyVector lineSegmentPoint2,
                                          out MyVector closestPoint)
      {
         return Math.Sqrt(DistanceToLineSegmentSquared(lineSegmentPoint1, lineSegmentPoint2, 
                          out closestPoint));
      }
      // Same as above, but avoid using Sqrt(), saves a new nanoseconds in cases where you only want 
      //  to compare several distances to find the smallest or largest, but don't need the distance
      public double DistanceToLineSegmentSquared(MyVector lineSegmentPoint1, 
                                              MyVector lineSegmentPoint2, out MyVector closestPoint)
      {
         // Compute length of line segment (squared) and handle special case of coincident points
         double segmentLengthSquared = lineSegmentPoint1.DistanceSquared(lineSegmentPoint2);
         if (segmentLengthSquared < 1E-7f)  // Arbitrary "close enough for government work" value
         {
            closestPoint = lineSegmentPoint1;
            return this.DistanceSquared(closestPoint);
         }
         // Use the magic formula to compute the "projection" of this point on the infinite line
         MyVector lineSegment = lineSegmentPoint2 - lineSegmentPoint1;
         double t = (this - lineSegmentPoint1).DotProduct(lineSegment) / segmentLengthSquared;
         // Handle the two cases where the projection is not on the line segment, and the case where 
         //  the projection is on the segment
         if (t <= 0)
            closestPoint = lineSegmentPoint1;
         else if (t >= 1)
            closestPoint = lineSegmentPoint2;
         else 
            closestPoint = lineSegmentPoint1 + (lineSegment * t);
         return this.DistanceSquared(closestPoint);
      }
      public double DotProduct(MyVector otherVector)
      {
         return this._x * otherVector._x + this._y * otherVector._y;
      }
      public static MyVector operator +(MyVector leftVector, MyVector rightVector)
      {
         return new MyVector(leftVector._x + rightVector._x, leftVector._y + rightVector._y);
      }
      public static MyVector operator -(MyVector leftVector, MyVector rightVector)
      {
         return new MyVector(leftVector._x - rightVector._x, leftVector._y - rightVector._y);
      }
      public static MyVector operator *(MyVector aVector, double aScalar)
      {
         return new MyVector(aVector._x * aScalar, aVector._y * aScalar);
      }
      // Added using ReSharper due to CodeAnalysis nagging
      public bool Equals(MyVector other)
      {
         return _x.Equals(other._x) && _y.Equals(other._y);
      }
      public override bool Equals(object obj)
      {
         if (ReferenceEquals(null, obj)) return false;
         return obj is MyVector && Equals((MyVector) obj);
      }
      public override int GetHashCode()
      {
         unchecked
         {
            return (_x.GetHashCode()*397) ^ _y.GetHashCode();
         }
      }
      public static bool operator ==(MyVector left, MyVector right)
      {
         return left.Equals(right);
      }
      public static bool operator !=(MyVector left, MyVector right)
      {
         return !left.Equals(right);
      }
   }
And here's a little test program. 
   public static class JustTesting
   {
      public static void Main()
      {
         Stopwatch stopwatch = new Stopwatch();
         stopwatch.Start();
         for (int i = 0; i < 10000000; i++)
         {
            TestIt(1, 0, 0, 0, 1, 1, 0.70710678118654757);
            TestIt(5, 4, 0, 0, 20, 10, 1.3416407864998738);
            TestIt(30, 15, 0, 0, 20, 10, 11.180339887498949);
            TestIt(-30, 15, 0, 0, 20, 10, 33.541019662496844);
            TestIt(5, 1, 0, 0, 10, 0, 1.0);
            TestIt(1, 5, 0, 0, 0, 10, 1.0);
         }
         stopwatch.Stop();
         TimeSpan timeSpan = stopwatch.Elapsed;
      }
      private static void TestIt(float aPointX, float aPointY, 
                                 float lineSegmentPoint1X, float lineSegmentPoint1Y, 
                                 float lineSegmentPoint2X, float lineSegmentPoint2Y, 
                                 double expectedAnswer)
      {
         // Katz
         double d1 = DistanceFromPointToLineSegment(new MyVector(aPointX, aPointY), 
                                              new MyVector(lineSegmentPoint1X, lineSegmentPoint1Y), 
                                              new MyVector(lineSegmentPoint2X, lineSegmentPoint2Y));
         Debug.Assert(d1 == expectedAnswer);
         /*
         // Katz using squared distance
         double d2 = DistanceFromPointToLineSegmentSquared(new MyVector(aPointX, aPointY), 
                                              new MyVector(lineSegmentPoint1X, lineSegmentPoint1Y), 
                                              new MyVector(lineSegmentPoint2X, lineSegmentPoint2Y));
         Debug.Assert(Math.Abs(d2 - expectedAnswer * expectedAnswer) < 1E-7f);
          */
         /*
         // Matti (optimized)
         double d3 = FloatVector.DistanceToLineSegment(new PointF(aPointX, aPointY), 
                                                new PointF(lineSegmentPoint1X, lineSegmentPoint1Y), 
                                                new PointF(lineSegmentPoint2X, lineSegmentPoint2Y));
         Debug.Assert(Math.Abs(d3 - expectedAnswer) < 1E-7f);
          */
      }
      private static double DistanceFromPointToLineSegment(MyVector aPoint, 
                                             MyVector lineSegmentPoint1, MyVector lineSegmentPoint2)
      {
         MyVector closestPoint;  // Not used
         return aPoint.DistanceToLineSegment(lineSegmentPoint1, lineSegmentPoint2, 
                                             out closestPoint);
      }
      private static double DistanceFromPointToLineSegmentSquared(MyVector aPoint, 
                                             MyVector lineSegmentPoint1, MyVector lineSegmentPoint2)
      {
         MyVector closestPoint;  // Not used
         return aPoint.DistanceToLineSegmentSquared(lineSegmentPoint1, lineSegmentPoint2, 
                                                    out closestPoint);
      }
   }
As you can see, I tried to measure the difference between using the version that avoids the Sqrt() method and the normal version. My tests indicate you can maybe save about 2.5%, but I'm not even sure of that - the variations within the various test runs were of the same order of magnitude. I also tried measuring the version posted by Matti (plus an obvious optimization), and that version seems to be about 4% slower than the version based on Katz/Grumdrig code. 
Edit: Incidentally, I've also tried measuring a method that finds the distance to an infinite line (not a line segment) using a cross product (and a Sqrt()), and it's about 32% faster.