command-shift-g to quickly go to a filesystem path (supports tab completion. It's unix filesystem, so ~/ == your home directory. ~/Doc[tab] will take you to your Documents folder, etc).
As for speed - RAM upgrade and an SSD make all the difference in the world (as they would for windows as well).
Oh, also, if you're new to the mac, you might need some of these:
* Quicksilver http://qsapp.com/ - quick app launcher and much more.
* Adium http://adium.im/ - the only IM client you'll need
* Colloquy http://colloquy.info/ - IRC client
* DTerm or iTerm - somewhat better than default Terminal.app
* Hex Fiend - awesome hex editor
* HandBrake - video conversion
* Sublime Text / Textmate - really excellent programmer editors
* XLD - lossless audio conversion