You can have Software Update appear in your dock -- not the System Preferences panel, but the software update item itself.
Here's how I did it ... while Software Update was downloading and installing an update, I right clicked on the Software Update item that was running in the dock, and selected the "Keep In Dock" menu item. When the update finished and the system restarted, I had Software Update in my dock.
[robg adds: Here's another way to get the Software Update application into your dock. The program lives in /System -> Library -> CoreServices, and is called (surprise!) Software Update. Open this folder in the Finder, and then just drag Software Update to your dock. Personally, I just use the Software Update option available under the Apple menu in 10.3, but that's because I prefer a minimalist dock.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20031218140705551