This is really two tips in one. The first is a fairly basic one that new Mac users might not know: you can drag any folder to the right-hand side your dock (to the right of the faint-white lines which separate the Trash from applications). When you first set up an account, the Applications, Documents, and Downloads folders are already there.
The second is a "news to me" tip: did you know that when you connect via screensharing to different Macs, a file is created in your home directory at ~/Library/Application Support/Screen Sharing/?
These files can be used to reconnect to those machines simply by clicking on them. This means that you can launch Screen Sharing without having to switch to Finder, locate the machine, and then click the "Screen Share..." button. If you screen share to a different Mac, the .vncloc file will automatically be added to that folder. Just drag the folder of Screen Sharing shortcuts to your dock to make it into an easily-accessible Stack.
Using the Finder does have one advantage: if a computer is not available (if it's powered off or asleep) it will automatically disappear from the "Shared" section in Finder. The files in the Screen Sharing folder will still be there, so if you are having trouble connecting, you might check Finder to make sure that it still "sees" the computer you are trying to reach.
Henrik Nyh also suggested putting VNC shortcuts in a Stack in the dock, and he adds the notion of picking some suitable icons for them. Check out his rundown here.