Found this hint this morning when fooling around with Terminal.app. With Terminal.app open, control-clicking on its icon in the dock (or right clicking) will bring up a contextual menu that has Connect to Server.
Clicking on this option will bring up a window that allows you to choose which connection to make (ie: SSH, SFTP, telnet or vanilla FTP). You can choose which server to connect to, specify a username, etc and even add methods of connecting to specified servers - way cool!
[robg adds: The first few times I tried this, I thought it was broken -- if Terminal isn't the front-most app when you use its contextual menus, the floating box this option brings up will more than likely be buried behind your other windows. You'll need to switch Terminal to the foreground to see it. While this feature is handy, I prefer using saved Terminal commands and keeping those in a floating menu which gives me one-click access from anywhere...]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20031124112255445