Open location of a photo in Finder from Photos.app
OS X Yosemite 10.10.3 - Photos Version 1.0 - Looks like Apple removed the option to show the photo in Finder.

Not the most direct method, but try  this:


Go to Photos Menu -> Preferences -> General
Click the "Show in Finder" button in the dialog box.  In Finder you'll see a "Photos Library" highlighted
Right-click and select "Show Package Contents", this will show a directory listing
Select and open the folder named "Masters"
Browse by Year-Month-Date of when the photos or videos were created


I hope Apple restores the more direct "Locate in Finder" for the photo itself.