Ever since the iTunes Music Store debuted, I've been wishing that Apple would add those nifty little arrows next to Artist & Album to the main library. In 4.5 my wish was granted, but it wasn't quite right- those arrows take you to the iTMS!
Reading MacOSXHints today, I found that this behavior can be changed by holding the option key while clicking on the arrow. AND, if you quit iTunes, and enter the following command into the terminal: