Just as you can now drag files from Safari's downloads list, you can also drag them from a stack. They can be dragged to the Desktop, Trash, Finder window, folder, folders and volumes in the Sidebar and Toolbar and even another Stack.
Also, while Lion unfortunately does not allow quick access to the Desktop with hot corners this can be somewhat remedied by creating a Desktop Stack to do so without leaving the application. It doesn't work in List View so it helps to set it to sort by date added.
This is also very handy for dragging images and items in the downloads menu from a fullscreen app like Safari to the Desktop. The Dock even automatically pops up if you drag the item to the bottom of the screen without having to use the double down motion normally required to access the Dock in fullscreen apps.
[crarko adds: A good trick to know if you use fullscreen apps a lot.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20110911030648443