Here is a tip I found out about by accident:
In OS X Snow Leopard (and perhaps earlier), the sidebar on the left side is not the only place you can drag a folder for quick access later. You can also use the top right of the window, in the toolbar. Just drag a folder up there, and it will sit there in future windows.
To get rid of it, extraordinarily, you can't drag it off, you have to use the contextual menu. (And more oddly, you have to control-click on the name, not the icon.) You can also command-drag it off (thanks Adam Engst).
I find that this helps to keep the left-side list of favorite items short, for quicker eye-scanning.
The downside is that these shortcuts are only visible in Finder, not in Open and Save dialogue windows.