When viewing an Open or Save dialog in column view mode, try a control-click on the column separator at the bottom of a column to get the choices of Right Size this Column, Right Size All Columns Individually, or Right Size All Columns Equally. Each does what you would expect.
[robg adds: Very oddly, you won't find this contextual menu in the Finder, only in the Open/Save dialogs.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20071211153116717