I'm not sure if this has already been requested:

What about extending the 'Saving Directory' option to allow the user to specify multiple saving directories, where each directory can be the recipient of multiple file types?

E.g.

File Extension -> Directory
-----------------------------------------------------------------
*.wav;*.mp3;*.wma -> C:\Media\Music
*.avi;*.mpeg;*.mpg -> C:\Media\Video
*.bmp;*.gif;*.jpg -> C:\Media\Pictures

You could even allow users to specify filters:
e.g.

File Extension -> Directory
-----------------------------------------------------------------
*divx*.avi -> C:\Media\Video\DivX