Is there any way to have the Screen Sharing app in Snow Leopard to remember the last connected host?
Don't know of a way to specifically do that, but you can set up browser bookmarks and/or desktop icons that will connect to specific hosts, if that's any help.  

For the former, create a bookmark that points to vnc://hostname.blah.com rather than the more usual http://hostname.blah.com.

For the latter, create a text file with the .command suffix (e.g. 'myvnc.command') that contains the single line:

open vnc://hostname.blah.com


which will start the screen sharing session when you double-click it in Finder. You can also drag it to your dock if you wish.