If you ever use Firefox on OS X to open a document in a helper application (think downloading a PDF to read it directly in Preview using the “Open with…” dialog), I’m sure you get as annoyed as I do when Firefox saves this to your Desktop and not the download directory you specified in preferences.
In fact, Firefox downloads these files to wherever you set Safari to save downloads. You can fix the above behavior by going to the Preferences pane in Safari and changing the download directory there.
Thanks to Adam Kalsey for the tip: http://kalsey.com/2006/02/temporary_files_in_firefox_on_osx/