On OS X (I'm using 10.9 and Mathematica 9) the file chooser dialogue will remember the last location you used.
So if you Save/Open something to/from
/Users/brian/mma, then next time you bring up the file chooser it will show the same directory. This should be convenient.
Per John Fultz's comment above (from Dec 2 '12), it is not possible to set this location on OS X by changing
CurrentValue[$FrontEnd, "NotebookBrowseDirectory"]. Quoting the comment:
NotebookBrowseDirectory works on Windows and Linux, but on Mac, we allow the operating system to assert its natural behavior over such things. I'm not now so convinced that this was a good idea, but I haven't finished a proper investigation. So, it's possible this behavior will change in the future.