Yes, I agree that it is not the most intuitive thing in the world. Not even Apple gets everything right the first time. Perhaps an improvement will show up in this area in Leopard. We can always hope.
BUT, there are offsetting benefits! So, there may be some things that aren't perfect, but there are also some things that are spectacularly right. Fire up that trusty "Save As" dialog. Check out the upper right area. See the little Spotlight search box? It is amazing - nothing like in Windows I can assure you.
Lets say you want to save your file in a folder half way across your file structure from where you are now. In Windows or most Linux file managers, you are going to have to laboriously navigate from here to there using that tiny little Save As window to do the work. But with Mac OS X, all you have to do is type a little fragment of the destination folder name into that Spotlight box and BOOM - Mac OS X navigates the Save As window to that very spot in seconds! It is SUCH a time saver. It is for me one of my favorite features in Mac OS X.
So, is the Save/Save As dialog perfect? No. Is it better than anything else out there - ABSOLUTELY!