I had opened a text file in BBEdit Lite, and wanted to keep a clipping of a website address. Highlighting the address and dragging it to the desktop resulted in a 4K file with ".webloc" for its extension, and the icon for a web url file. Double clicking on the file took me directly to the site.
[Editor's note: This seemed to work in most applications I tested; Office v.X, however, creates "picture clipping" files (surprise?). Clipping behavior overall seems much better in 10.2 than it was previously; I had mixed success creating clippings of any kind from many applications in 10.1.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20020909065705409