Two Ways to Download Software Updates in Snow Leopard
When running Software Update in OS X 10.5 and earlier, you could choose to download available Software Updates, instead of installing them. To do so, you could just select Update -> Download Only after the list of available updates appeared. In 10.6, this menu item is gone, as is Install and Keep Package, which appeared in the same menu (but didn't seem to work in 10.5 anyway).
So what are your options if you like to download updates, instead of merely installing them--if you have multiple Macs in your home, for instance, this can be a real timesaver.
The obvious choice is a new entry in the Update menu in Software Udpate: Go to Apple Downloads Page. On the Apple Downloads page, you'll find--in theory--every software update that Apple releases, each of which can be downloaded and saved on your Mac. Downloading a number of updates one by one can be a bit of a chore, though.
The other alternative is to use the softwareupdate program in Terminal, which still has a download option available in 10.6. In Terminal, type softwareupdate -d (then press Return) to launch the softwareupdate tool in download mode. Unlike using your browser, this command will download all available updates at once, and will do so without requiring your admin password. Let the program run, and when it's done (the Terminal's command prompt will return), you'll find the downloaded updates in the top-level Library -> Updates folder. From there, you can install them, or copy them to other Macs for future installation.