You may have noticed in Jaguar that, in addition to the default throbbing button in many dialogs, there is often a second button with a blue ring around it. This is the button with the keyboard focus. As with all previous versions of Mac OS, pressing Return selects the default button, but in Jaguar, you can use the Space Bar to press the highlighted button. Use the Tab key to highlight the next control.
Keyboard navigation is not available in all dialogs, and you'll probably need to turn on the Full Keyboard Access preferences option labeled "For windows and dialogs, highlight: Any control." Control-F7 toggles this option system-wide.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20021204061718968