If you place a checkmark next to an update available in Software Update, you can go to the Update menu and choose "Download checked items to desktop". I guess this would be useful when Apple hasn't released the update on their web page, or if you aren't familiar with:
% cp -R /tmp/501/MacOS10.2.2update.pkg ~/Desktop/[Editor's note: I realize this is a hint about a menu selection, but it's also one of the most useful menu items, and it's often overlooked. I use it all the time to make future reinstalls (if necessary) much quicker - no more re-downloading of previous update packages.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20021115063004525