If you are used to using One Key Dial or Hot Key or Speed Dial features of other phones, you’ll notice that there is no option to create Direct Dial shortcuts on the Android Phone (unless you are using Hero) so if you want to quickly call someone the only way is to open the dialer or the contacts then search for it and then dial (or may be use the favourites list). I use a free app called Any Cut to create one click shortcuts to dial my often called numbers, makes it so much easy to dial often called numbers.

Update: Support for creating shortcuts is now natively supported in Android from v1.6 onwards.