Gmail looks more and more like a desktop mail client: you can read messages from multiple accounts, attach files using drag and drop and now you can download attachments by dragging and dropping them to the desktop.
"Simply click and hold, then drag your cursor to anywhere in your file system that you want to save the file. Release the mouse button, and voilà! Your attachment is saved (for large files, you may see a progress dialog)," mentions Gmail's blog.
This feature is only available in Google Chrome, but it will work in other browsers when they implement the required HTML5 File APIs.