For 11.04 and earlier:

Unity does support custom launchers from .desktop files. To create custom launcher from a .desktop file you need to create a *.desktop file for your program.

gedit ~/.local/share/applications/name.desktop

The .desktop file should look something like this:

[Desktop Entry]
Name=the name you want shown
Comment=
Exec=command to run
Icon=icon name
Terminal=false
Type=Application
StartupNotify=true

In your file manager open your home folder and navigate to: (You may need to press ctrl+h to show hidden files to see the .gconf directory.)

.gconf-> desktop-> unity-> launcher -> favourites

you'll see a bunch of folders starting with "app-". you need to create a folder for your program. Use the same name.desktop you used in /usr/share/applications. Go into 1 of the folders for something that is already on the dock & copy the xml file and paste that into your new folder. Open it with your text editor and change the name of the *.desktop to your name.desktop.

Open gconf-editor (you can open gconf by running the command gconf-editor in the Terminal) & go to:

desktop-> unity-> launcher -> favorites

Double click the list on the right & add your name.desktop.

Log out & back in and you should see your launcher. (thank you kerry_s on the Ubuntu Forums for helping with this answer)

Unity also has a feature called Lenses. By default, you have two in Unity: Applications and Files. In the future, you will be able to install and create a lot more. There is some info about that on the Ubuntu wiki: https://wiki.ubuntu.com/Unity/Lenses

Alan Bell has created a python script to do just this. There is a PPA available (currently only for Precise Pangolin). Hopefully we'll see this feature available as part of official Unity releases in the future.

sudo apt-add-repository ppa:alanbell/unity
sudo apt-get update
sudo apt-get install unity-window-quicklists

Logout and login.

For more information see Alan Bell's blog post and PPA for Unity Window Quicklists