Before a network volume disconnects -- or prompts you to disconnect -- you're likely to have a period of anywhere from a few seconds to a few minutes where wheels of death start popping in your running applications. At first you think something bad is happening, and then you get the notice that a network volume can no longer be found. I still don't understand why this can't be fixed.
In the meantime, turning off your airport from the menu bar (assuming you're connected wirelessly) speeds up the process dramatically. As soon as you suspect you're having the problem, turn it off. You'll get the disconnect from volume box and then you can turn it right back on and continue.
Not a fix exactly, but it helps!
[robg adds: This used to be really bad in 10.4, but with 10.5, I haven't noticed many problems with disconnected shares causing issues in apps on machines that were connected to those shares.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20080516184156324