This Leopard bug has bitten me. It kept my first few updates in the Downloads folder, but that has all stopped now. Anyone?
Software update isn't keeping packages if I choose "Install and keep package"... Unless they are very, very hidden. I checked /Library/Packages, /Library/Updates, ~/Downloads, ~/Library.. Can't find em anywhere.
I've read it works if you choose "Download only", they end up in your download folder.
Maybe it's fixed in 10.5.1, but that was the update I was trying to install and keep.