[Osmose]

That uses the OS file dialog, which is far too slow for my taste, although I've never actually checked to see what kind've shortcuts there are for it.

[snprbob86]

On OSX, press / or ~ to get a path text box with tab completion.

[Hovertruck]

I've always pressed CMD+Shift+G for that. Nice to know there's an easier way.

[swah]

Only when you save...