As of OS X 10.5 at least, dragging a preference pane into the right (Documents) side of the Dock will allow direct access to that preference with a single click. Drag any preference pane from /System » Library » PreferencePanes or /Library » PreferencePanes, and drop it into the dock. Click it, and System Preferences will open with that pane active.
I use this for a connection utility for a wireless USB modem (that has been implemented as a preference rather than an actual app). So I click the pane, then use the Connect button to activate the 3G modem. This is more logical than opening preferences.
This is close to, but not exactly the same, as several previous hints on this topic. I don't know when it became possible, as I only have one Mac and its OS is kept up to date.
[robg adds: The preference panes are now basically like mini applications -- you can place them in the sidebar or toolbar, and if double-clicked in the Finder, that pane will open in System Preferences. For those still running 10.4 or 10.3, can you do this on your Macs? I don't believe this has always been possible, but maybe it has...]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20080927025638293