Mihai's saved searches greasemonkey script is great, but in my experience it imposes a noticable overhead on every gmail operation, so I decided to re-create the saved search feature using a bookmark (I think the overhead has been fixed in new versions of the scripts, but my version still has the advantage that it provides one-click access to your searches when you're not already in gmail).
It's possible (but not straightforward) to make a normal bookmark that links to a gmail search, but this is not ideal because it reloads the full page and all the javascript, which makes it slow if you're already in gmail. A javascript bookmarklet can reach into the page and submit the form directly, avoiding the overhead.
This form will generate a customized bookmarklet for a query of your choice (only tested in firefox). You queries can use any gmail search operators. For example, I use a search for [(label:inbox label:unread) OR label:star] as my main gmail view, which shows me all unread items from my inbox as well as all of my starred items.