Well, iTunes is smarter. When a song file is on an external hard drive, which is not plugged in, and you try to play the song, it tells you that the music file is currently not available and puts a little exclamation mark next to the song in the playlist. As soon as you plug the hard drive back in you can play the song.
I had hoped that Finder would be similarly smart, but obviously that's not the case.
I've already tried putting an alias of the folder on my system drive and referencing that alias in the Sidebar. It didn't work.
Any other ideas?