Drag or paste a link to the Safari Downloads window to immediately download
Did you know you can download a file instead of opening it in Safari, simply by dragging a link to the Downloads window? Just drag or paste a copied link into the Safari Downloads window and you’ll instantly download it rather than launching it into a new page.
You can access the Downloads window from the Window menu, or by hitting Option+Command+L

You can also start the download of a file by holding down the Option key when clicking a URL in Safari.

This is very helpful if you want to download a .swf, since normally a browser will just open it in the window.
You can also paste in a list of URLs to download all of them.