Although the mounting of FTP servers using "Connect to Server" doesn't work well in 10.2 (see this hint), I found today that clicking a link of type "ftp://...", at least in Mail, worked correctly. The server appeared as a mounted disk on my desktop, and I could browse and copy as in a normal finder window. I haven't tried this in any other apps, because I don't want to bring my system down, so try at your own risk!
[Editor's note: I'm not sure if this is any more stable than the currently troublesome Finder FTP browsing, or if the hint author happened to get one link which worked correctly. I'm not going to test it myself, for I've had nothing but problems with this feature in 10.2 on both my machines. Rumor has it that it works much much better in the (due any day now) 10.2.1 update.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20020916055752629