If you command-drag an application out of the dock, you're actually dragging the application file itself. This is great for downloaded programs: If you like it, just command-drag the program from the dock to the programs folder, and it's installed.
[robg adds: I don't believe we've covered this before -- we did discuss command-clicking dock icons, but not command-dragging them. With this trick, you can actually move running applications (as you could do in the Finder, of course) when you do this. Nothing will break if you move it while you're running the app, of course. But the next time you go to launch that app, you might be surprised to find its no longer in its folder -- and at that point, the app itself may complain about missing files.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20041026040034433