Safari drag drop download
Actually, in Safari 6.x when the location bar has focus, ⌘+S brings up the export dialog to save the current page as an archive.

That's not what you want, however.

You want to download some component from a site like an mp3 or a Java jar that you know the path to, but there's no exposed link.

⌥+↩ (option-return) to the rescue. Edit the URL in the location bar and press ⌥+↩. It will magically transfer over to the download view, just like you used to be able to drag it.