This happens in many applications, but I just happened to have hit it again in Visual Studio 2005; the fact that it's really dumb about file dialogs. I've just added an existing XML file to a Web project and I then create a schema. Upon saving the schema it doesn't remember where it last opened up, just reverting to its standard Projects folder. Doesn't this seem dumb to you? Why doesn't it have the intelligence to a) offer me the same folder, or b) offer me the current project folder. It's a web project, so common sense dictates that I'd be saving the file within the same project. Instead I have to nagivate back to the project folder again.
This doesn't just affect single applications; I'd really like the OS to be smart about this. For example, when working on a project I'm often dealing with files from different applications: Web projects, databases, documents, spreadsheets and so on. Each application has its own defaults and settings for storage, but there's no connection between them. Since dialogs are system wide, wouldn't it be nice to have a project mode, where all dialogs start at the same point - the main poject folder. I know you can change the folders in some dialogs using TweakUI, but for me it doesn't go far enough.
What would be great would be to integrate this with time tracking systems. A tray application that allows you to define projects (and their associated base folders) and mark time spent on a project. Not just integrated applications, but applications that work together.
Listening to Shake, Rattle and Roll by Mark Lamarr.