Quick Download
Here's another feature that someone else should have thought of long ago, but it took the folks at Opera to actually implement.
Opera 7 has a feature called "Quick Download"
Basically when you right click on a file (PDF, EXE, ZIP, etc) it will give you the option to Quick Download a file, which immediately saves the file to your default download directory (goto Preferences, then Programs and Paths).
Why should you have to deal with a pop up window just to save a file when you've already set a download directory?
Oh, and if you just have the URL of a file you want to download? Go to the Transfers panel and put it into the Quick Download space at the top of that panel.
(Power user tip: Go to Preferences then Sounds and set a distinctive sound to play when a Transfer is complete, so you'll know when it is done)