In iPhoto 6, we were given the choice of keeping the files where we want. Of course, there's still the accompanying mess inside the actual iPhoto folder in Finder, but you can have your photos elsewhere, away from this mess (if you want, I haven't bothered personally). Are you running iPhoto 6 or a previous version? I'm not sure of a method for doing the same in anything prior iPhoto 6. 😱
As a side, I find I just do everything through iPhoto. I have no real need for Finder when it comes to pictures.