Daring Fireball: Spaces in 10.5.3: "If you turn this new checkbox off, however, activating an app, even one that has no windows in the current space, will not jump you to another space. Once you’re in a space, you stay there until you explicitly switch spaces, not just switch apps. This makes all the difference in the world for the way I, and others, want to use Spaces."
I have found an interesting behavior with Spaces. If you highlight some text or a URl and try dragging it to the desktop if you go all the way to the edge of the window it will slide to the next space and after a pause the next after that, in most directions.
I am not sure if I like this or even if this is a bug or a feature.