When you use File -> Open within an OS X application, you can click the drop-down menu at the top of the window to see both the path to your currently-active folder and a list (in the Recent Places section) of recently-visited folders. Unfortunately, this list is limited to five items, and since there’s only one list of recently-visited folders for all applications, it’s really not long enough to be useful—that’s basically one folder for each of the the last five applications you’ve used.
Here’s how you can increase the limit to whatever you like with one simple Terminal command. Open Terminal (in Applications -> Utilities), enter the following command, then press Return:
defaults write .GlobalPreferences NSNavRecentPlacesLimit -int 10
Replace 10 with however many entries you’d like to see in the Recent Places section of the drop-down menu. This change takes effect immediately, though it will take a bit of time for you to build up additional entries in the list. If, for some reason, you’d ever like to go back to the OS X default, simply repeat the above command, but change the number at the end to 5.
I’ve got my machine set to display 10 folders, as this seems to strike a good balance between the length of the menu and having most of my recently-used folders in the list.