Where again is my Document?

Just encountered another bone-headed maneuver on the part of Apple, Inc. They're all hot on keeping the applications consistent but within their framework they behave inconsistently. For example...

When someone emails me an attachment and I save it from Mail.app where does it go? It doesn't go into any of the regular places (e.g. ~/, ~/Desktop, ~/Downloads, or ~/Downloads). It goes into ~/Library/Mail Downloads.

How is that consistent with Safari, or iChat? It isn't!