OS X uses them, GNOME 3 uses them, and for the Oneiric Ocelot so will Ubuntu.
What am I talking about? These: –
Also known as ‘Modal Dialogs’, ‘Modal Sheets’ and, in Ubuntu, ‘Slate Style Dialogs’, they† are best described as ‘a dialog box attached to one window and one window only’.
Better yet, they can’t be lost, don’t create entries in your taskbar/launcher and bear visual relation to the application they were borne from.