I have Safari set to remove downloads upon completion. Every so often, I'll start a download and cancel it right away, so I can just reload it when I have time. That's a good thing, but sometimes I'll click a download twice, or click on a bad link, and those entries are cluttering up my downloads!
So here's how I keep those downloads I want for future use while removing the dead/bad entries:
Mac OS X Hints
http://hints.macworld.com/article.php?story=2003090901225958