The integration of ArcCatalog into ArcMap, as well as the inclusion of the "Home" folder and "Default" geodatabase have greatly improved directory management in ArcCatalog. But there's one more addition that I think could help even more.
The included "Help" documentation for ArcGIS 10 has a convenient "Locate" button that will automatically open the contents tree to the currently displayed help topic. I would like to see something similar in ArcMap. Perhaps a "Go to..." command in a layers context menu (in the ArcMap table of contents) that automatically opens the integrated ArcCatalog tree to that particular layer's source feature class.