I can't remember seeing this before Mac OS X.4.3, so I think it's a new feature ... if you click on a document in the Finder, you can now choose Print from the file menu. You can also control-click on it, then choose Print from the contextual menu.
I have tested it out with a few document types. Images that open in Preview print, TextEdit documents print, but Pages documents do not.
[robg adds: I just noticed this myself, and in my testing, I found its operation to be so strange that I almost consider it a bug, not a feature! What happens seems to vary depending on the type of document you choose, as well as the state of the application which created the document.
For instance, if Pages is not running and I use File: Print on a Pages file, then that document opens in Pages, but does not print. If Pages is already running, however, the document opens and prints immediately (no OK button, it just goes).
With a Word document, if Word is not running, then Word launches and opens a new blank document, but not the one I told it to print. If Word is running, then the proper document opens and the Print dialog box appears. But this isn't common to all Office 2004 apps -- Excel documents will open and display the Print dialog, regardless of the state of the application.
PDF files printed from the Finder seem to work, but there's no print dialog; you tell the file to print, and then your default printer just starts churning out pages -- this is probably why Apple didn't map Command-P to the Print menu item. Overall, its behavior is somewhat strange...]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20051119045917454