Firefox users trying to view pdf files from a web link are greeted with a dialog box asking if they'd rather open the file with a given application, or save it to disk. If they choose to save it to disk, it will be saved to their defined downloads location, as set in Firefox's Preferences. However, if they select Open With, and leave the application set to Preview (default), then Firefox will download the PDF to another location. Which location, exactly? The one specified in Safari's preferences.
To redirect the PDF download to a specific location, launch Safari and open its Preferences panel, click on General, and set the 'Save downloaded files to' selection box to the spot where you'd like those PDFs to land.
[robg adds: I'd never noticed this behavior, as I usually have all the browsers set to download to the same location. But some quick experimentation proved that Firefox does indeed use Safari's save-to location setting when opening a file from the "do what with this file?" dialog box.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20061129110208813