In Leopard, Software Update gave you the choice of either downloading or installing an update. Under Snow Leopard, though, the download option is gone; it's install or nothing.
[robg adds: There's a new Update » Go to Apple Download Page menu item in Software Update; every update should be available there for download. While this change simplifies the Software Update app, it does add a step for those who prefer to download updates (for updating multiple Macs, for instance).]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20090910162236620