Inside SQL Server Management Studio (SSMS), there's a feature I don't see used a great deal. It's called a "Project" and in effect it's just a way to bundle files, connections and scripts into a single package that you can navigate within SSMS.
This is actually an artifact from the base tool that SSMS uses - Visual Studio. When the product team came out with SQL Server 2005, they decided to use the "shell" from Visual Studio to build a single environment for management tasks and writing code. Because Visual Studio is for developers, it starts out with a "Project" - and in fact that still happens in the background whenever you open SSMS. Ever opened SSMS, and then closed it again without doing anything, and you get that prompt to "Save Solution or Project"? That's why.
If you click on "File | New | Project" in the menu bar, you'll be able to save the connections you make, the scripts you write, and even Word documents or anything else in a special file that can be navigated using the "View | Solution Explorer" menu item. I do this all the time, and I use the sub-directories it makes to zip up demos and so on when people ask me for them. If I have a small sample database, I even put the backup there. I can then open that project using "Open | Project/Solution" menu item. Oh, by the way - to add other kinds of files to the Project, just right-click the project name and select "Add | Existing Item".
There are some changes I would love to have in this feature, and I will be submitting those (as you can also do) on http://connect.microsoft.com. I'll mention some of those in the future.