You can use Spotlight in the menubar and still quickly reveal the location of a hit in the Finder, without the need to open the Spotlight window first. Hold down the Command key and press Enter (or click the mouse) on a result to reveal its location in the Finder.
[robg adds: This won't work for things like iCal events, Mail messages, or anything else that won't show a location in its pop-up tooltip. This shortcut, at least the Command-click variant, is in Spotlight's help, but fairly deeply buried -- search for Spotlight shortcuts to find a list which includes it.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20061001091651750