Update: I've suddenly lost the ability to do this. I know others have had problems following these steps as well - perhaps I was exploiting something which had subsequently been patched? Either way, I'm looking into it, because it's ruining my system! I'm looking into it...
I've written about how I use the Outlook Search Folders in the past (although I am evolving my system slightly in light of GTD). One of my biggest gripes has always been that the Search Folders could only include mail and post folders.
See? No Tasks, no Calendar, no Contacts. Well, I recently figured out a way around this limitation.
Unlike the Search Folders wizard, you can select multiple folder types when using Find (or Advanced Find).
You also have the ability to save the current search as a Search Folder (although you need to make sure the currently selected folder contains Mail items or this will be disabled).
There you go! Just save the folder and you have a Search Folder than can also search non-Mail items. The only caveat is that, once created, you can't change the selected folders or the search criteria. If you want to change either, you will have to delete it and recreate.
This is particularly useful if you enable the Query Builder tab, because it allows you to build complex logical groups (by default, all criteria is joined by ANDs).
For example, as you can see above, I have a Search Folder that for all of my current action items - that is, Tasks in a particular category, Tasks of a particular age, and Mail Items with a blue colored flag.
I've found this to be pretty useful for doing my weekly reviews. (Another important thing there is to change the folder to display the number of total items instead of unread items, which you can change in the properties window for the folder).
Update: Others have reported problems with this technique. You can also try a macro approach as mentioned here: http://support.microsoft.com/default.aspx?scid=kb;en-us;817890&Product=out2003.