I think we all know that you can change the download location in Safari through its Preferences window. However, if you mount a network volume and then point your download location to a spot on that volume, then that volume will re-mount every time you download an item without interaction (if you saved the username and password into your keychain).
[robg adds: I believe this is an OS-level feature, as it works in other browsers as well.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20061201063730539