After having connected and logged in to another machine on your network, drag its disk icon into your ~/Library -> Favorites folder. Next time you want to connect, it will be right there as a Go -> Favorites menu item, or in the Favorites folder from any finder window. If you find yourself regularly accessing a particular folder on the server, drag that folder icon from the host to your Favorites instead of the disk icon -- saves you from having to drill down each time you connect.
[Editor's note: The Favorites folder can be a big time saver in many areas; accessing to networked volumes is one of them. For an even more powerful version of Favorites, check out Default Folder X, which provides a custom list of favorites on an application specific basis.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20021101061852293