A file/folder copied in Finder or a file/folder POSIX path string on the clipboard (such as '~/Documents/file.txt') can be pasted directly into a Save dialog by pressing ⌘V. The dialog will automatically open a Finder-style 'Go to the folder…' dialog and paste the path into it. Pressing enter will go to that location. It doesn't seem to work for Open dialogs, but pressing ⇧⌘G then ⌘V gives the same result.
I discovered this by accident the other day. I'm on 10.6.7, I haven't tried it on other systems.
[crarko adds: I tested this, and it works as described. I did a search and did not find a duplicate, but this seems like something that may have been mentioned before. I tried it on 10.5, and it did not exhibit this behavior.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20110703000245518