iTunes 2.0.4 and earlier allowed you to create a playlist by selecting File -> New Playlist (keyboard shortcut: command-N) or by pressing the "+" button at the bottom left of the iTunes window.
iTunes 3 now has "Smart Playlists", but there is still only one "+" button in the lower left of the iTunes window to create normal playlists; thankfully, Apple has chosen to keep the interface simple and avoid clutter. However, while the option key is pressed, the "+" key will change into more of a "*" looking symbol, to reflect that option-clicking on the "+" button will create a new "Smart Playlist" (this parallels nicely with the keyboard version: command-option-N). Just press and hold the option key when using iTunes 3 and you'll see what I mean. Think Smart. :)
Mac OS X Hints
http://hints.macworld.com/article.php?story=20020718073111482