I found a really nice tip for those of you who connect to a lot of removable devices and what them to stay in the Finder side Bar.
If you’re anything like me, then you probably access files within folders within folders on removable media (i.e. external hard drives, Flash drives). It can become quite a hassle (with a trackpad, anyway) to open the the media device, select the folder, navigate, select another folder, navigate, and then select the desired file or folder.
I tried adding my commonly-accessed (but time consuming to reach) external hard drive folder to the Finder’s sidebar, but whenever I took my MacBook somewhere and the folder wasn’t present, the sidebar alias disappeared.
So my solution was to make a local alias of the removable folder, put it in my Documents (or any other local) folder, then drag the alias to the sidebar. Now I can eject removable media without losing my sidebar shortcut.[robg adds: I thought we had run something similar in the past, but I can’t find it now — so if this is a duplicate, please let me know. Also, if you use this hint, you should be aware that the cautions in this hint are still valid in 10.5.4: if you delete (via Command-Delete) or rename the “alias” in the sidebar, you will rename or delete the original folder on the networked volume instead! When you place your local alias in the sidebar, the Finder converts it into a direct pointer to the remote folder, instead of placing the alias in the sidebar, so any changes you make affect the original, not your alias.]
via Mac OSX hints