If you use NetNewsWire, you might read a lot of blog posts in the preview window and not a browser. If a post has a file linked on it that you want to download, option-clicking the link will automatically download the file to your default download destination (just like in Safari, but without using Safari, nor using a separate Downloads window).
I've found that this comes in handy when an audio or video file is linked in a post. Regular clicking of the link would launch a browser and the file would be loaded using the QuickTime plugin and start playing.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20060729000125324