With OS X, Apple assigned command-N to "Make New Window" instaed of "Make New Folder", which was assigned to shift-command-N. To me, this makes sense, as I tend to open more new windows than I do creating new folders, so the easier key combo is the most used key combo.
However, some people tend to create a lot of folders on a daily basis, and the added keystroke could become quite annoying. For these users, here are two other means of creating new folders that may prove quicker than shift-command-N:
Mac OS X Hints
http://hints.macworld.com/article.php?story=20010520012324670