Accept file extension changes with Command-U
When you go to change the file extension in Mac OS X you will get a dialog box notifying you that by changing a file type it may open in another application. Chances are if you are changing the file extension deliberately, you did this intentionally. You can quickly accept this file type extension change by hitting Command+U when the dialogue box pops up.
This appears to be Snow Leopard only, but I do not have access to an older Mac OS X to test.

In Leopard, what I used to achieve this was : press Tab and then Space.
Tab shifts the focus from the default selected button (the one which implies refusing change, in your example it would have been “Keep .html”) to the other button (in your example “Use .jpg”). And hitting Space is just like clicking on the selected button. (So, you would also have understood that hitting Space without hitting Tab before is like clicking on the default button, in your example : “Keep .html”)
So, right, Ctrl-U for SL only, and Tab and Space for Leopard.
Thanks for the tip anyway, I noticed Tab and Space don’t work anymore in SL and was searching for a workaround !
enable Full Keyboard Access for control of dialog widgets…
go to System Preferences [Keyboard] pane, [Keyboard Shortcuts] tab, and enable:
Full Keyboard Access…
(•) All controls
this enables the tab key to switch among dialog widgets and space bar to select highlighted widget.
Thanks for the tip Sparky.