You can temporalily bypass the "snap to grid" view option setting in the Finder. Hold the command key while letting go of the mouse button after dragging, and the icon will stay right where you drop it. [robg adds: The oppposite is also true - if you don't have snap to grid enabled, command-drag an object to snap it to the grid when dropped. This trick will not work if you have one of the "Keep arranged by" options selected, as that setting seems to override all others.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20030212162827101