A friend of mine recently pointed out that if you have some text highlighted in Internet Explorer and you choose Print and then hit the "Save as PDF" button, the highlighting is included in the resulting PDF. I tested this with another program (Mail) and it didn't work, so this isn't universal, but it is interesting, to be sure.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20021001055848700