All File Open and Save As dialog boxes have a list of favorite locations, sometimes called the Places Bar, in their left pane. But there are two problems with these otherwise convenient lists:
First, unless you customize them, they remain someone else's favorite locations (usually Microsoft's), not yours.
Second, there's no single, universal way to customize these. Windows standard dialog boxes changed from XP to Vista, and not all applications use Windows standard dialog boxes. So you can customize the dialog boxes, then open another program and those dialog boxes aren't customized.
Here's how you customize a few of the more common dialog boxes:
Standard Vista and Windows 7 Dialog Boxes: The right pane in these dialog boxes are identical to the one in Windows Explorer. Change Explorer, and you change the dialog boxes. To add a folder to the Favorites section at the top of this pane, simply drag that folder from Explorer's main pane to the Favorites section.