Default Folder X is one of those system utilities I never think about but immediately miss when on someone else's Mac. The "favorites" are just one of those little touches that make DFX worth the $35 price.
Favorites are configured in the DFX preference pane and can be configured with a system wide hotkey to access the folder at any time.
Now, every Open and Save dialog has easy access to the favorites through the side bar of the DFX window chrome.
The DFX favorites provide some extra benefit over the Finder favorites side bar. For example, hierarchical folder navigation.
The system wide access to recent folders is another little trick up DFX's sleave and is available by default. I use it constantly in Open/Save dialog boxes and directly from the system menu bar.