If you switch to the palettes view (the icon with three colorful overlapped boxes), you'll see a selection list. Selecting "New" from that list creates a new customized palette (which you then have to rename via the Rename item in the same menu -- not perfect, but you only have to set the colors up once). You can save any number of colors (including transparency!) with useful names; look at the "Developer" palette for a good example. Any palettes you create will be available in all your other applications. Have a look in ~/Library/Colors and you'll see your palettes with a .clr extension. You can give these files to someone else and they can then add them to their profile too (using the "Open" function from the same panel in the color chooser, or by dropping it in their ~/Library/Colors directory).
This is great if you want to standardise effects you use a lot (like a corporate image, or as in my case, simply using the same effect time and again and wanting it to be consistent).

