open location "itms://deimos3.apple.com/indigo/main/main.xml"
Now go to Keyboard & Mouse preferences and assign a shortcut to your script. As an alternative, you can run this one line in Terminal (the backslashes should let it copy and paste successfully):
echo 'open location "itms://deimos3.apple.com/indigo/main/main.xml"' \
>> ~/Library/iTunes/Scripts/iTunes\ U.scpt;\
open /System/Library/PreferencePanes/Keyboard.prefPane
Next time you launch your iTunes, use the hot-key to go directly to iTunes U. You can also change the target URL into whatever you want:
MIT • Berkeley • Stanford • Yale • MoMA • OYEZ
You can even visit Harvard (which is not listed in the iTunes catalog!). You can find the URL you're interested in by control-clicking on that items' title in the iTunes U area and choosing Copy iTunes Store URL. You can be even more specific and go directly to the course that you happen to like.
[robg adds: Both the script and the Terminal method of creating it worked fine for me in testing. You could also extend this hint to bookmark any particular area of the iTunes store that you wished, of course.]

