I think this is new in Lion, but someone contradicted me about that, so if you have Snow Leopard, check it out.
You don’t have to open a finder window to get to all the things that you need, such as your Application Folder, Downloads Folder, AirDrop, etc. Now you can find it under the Go Menu.
You can also quickly get to recent folders that you have had open from this menu. Much faster than looking for them.