I was removing MP3's from my iTunes list and it was giving me the "remove from library?" window. I was removing tons of songs and got sick of using the mouse, so I hit 'Y' and Bam! it worked. 'N' also works for no. Found out that 'C' works for cancel. Not sure which other apps may support these keys.
[Editor's note: This doesn't seem to work on open/save dialogs, as the "Go" data entry box captures your keystrokes. It may be restricted to warning dialogs only, but I haven't come across one to test with yet.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20020330123949490