I think this is useful and not well known enough to warrant its own blog post.
Did you know that there is a Visual Studio command called File.OpenContainingFolder? Asmita A Wankhede wrote about it, but he left a few important details out.
By default, this command does not have a shortcut, so you would have to assign one to it (try CTRL+SHIFT+ALT+O). Also, the "item" that this command works on is the currently opened item in the editor, not the selected item in the Solution Explorer. See my Visual Studio tips article for instructions on how to create new shortcuts (section 3 – Make New Shortcuts).
This works with both Visual Studio 2005 and 2008.