I don't know if this was already documented, but in addition to using Command-click on the Safari window title to show the nested directories for a web site, Safari 4 lets you do it with a right-click (or Control-click) of the mouse as well.
[robg adds: I was positive we had this documented here, but I can't find it while searching now. If it's been posted before, please let me know.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=2009060816140276