After reading FunkDaddy's hint about using Option and Return for downloading files from the Safari address bar, I thought I'd try it with the Activity window. When I tried holding Option and double clicking an item in the Activity window, instead of opening it in a new browser window as usual, it started downloading.
I always have the activiy window open so I can see the file size of page objects, and I have found that this hint is handy for downloading SWFs (Flash movies) that you might want to keep.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20040413101444491