If you have a Downloads folder full of junk like I do, it can be useful to know where some files have come from. Luckily this information is displayed in the Get Info window. Just right-click on the file and choose "Get Info" or press Command-I.

In the Get Info window, click the "More Info" disclosure triangle and some extra fields should appear. If you look in the list you should find one called "Where from."

If you downloaded the file using Safari, this field will show you the web address of the page you downloaded the file from. If you received the file via iChat or a Mail attachment, the name of the person who sent it to you should appear.

Sometimes two web addresses are shown if the page with the download link is on a separate site to where the file was actually stored. See the screenshot below for an example.