On the left side of the File Open dialog (and the File Save dialog), there is an area called My Places.
My Recent Documents, Desktop, My Documents, My Computer, and My Network Places must be the default, because I’m sure I’ve never added or deleted anything from this list. Recently, Bob Phillips alerted me to the fact that I can mess with this stuff. I select a folder and choose Add to My Places from the Tools menu:
Then I can right click on anything over there to Remove it:
Pretty convenient, I think.