You can use Image Capture (in your Applications folder) to view the contents of your camera. From there you can choose to only download selected photos. I agree that this should be an option in iPhoto. Maybe '07?
Another alternative is to browse the contents of your camera in the finder. When you get to the folder with all of your recent pictures, select all and right-click (ctrl+click). You should see an option to view a slideshow of the photos. From the slideshow you can view all of your photos as a contact sheet and select certain ones to send to iPhoto.