Out of the many cool hacks on O'Reilly's hacks site is one by Rael Dornfest which replaces the rm command with a new version with Finder-like behavior. The result: if you rm a file in the Terminal, it shows up in the Trash can, waiting for that final confirmation before you manually delete it for good.
[robg adds: Another variation on this script was detailed in this hint.]
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http://hints.macworld.com/article.php?story=20030419103445827