It turns out that the Finder sports the same ability. A long click on the arrow buttons in the toolbar brings downs a menu with the previous and the next directories visited in that Finder window. This works in Mac OS X 10.7. I think I tried it with 10.6 as well as 10.4 before I upgraded to Lion and it did not work, but I am not sure.
[crarko adds: I did try it in 10.6 and it wasn't there.]

