One of the few things I think Windows gets right is the richness of the file open and save dialogs.
However, I still find it frustrating that you can't set up shortcuts to frequently used locations.
For example, I have specific folders where I save the installers for downloaded freeware, purchased software and Mac-specific applications.
Similarly, I have a folder where I keep all my PDF reference material, like books I've purchased or mathematics papers I want to read later.
Well, via LifeHacker, I finally have the solution! FileBox eXtender is a plugin that allows you to easily jump to any pre-defined location from any Explorer window, including open and save dialogs.
The icing on the cake is that it's freeware!
It currently does not support Vista, but if you're using that then you have bigger things to worry about :-).