Why don't mounted volumes show on the Desktop?

In Mac OS X v10.6 (Snow Leopard) and v10.5 (Leopard), a default Finder option is to have mounted volumes not shown on the Desktop.

If you'd like to change this to match the way Tiger works, go to the Finder menu and choose Preferences (or use the Command and Comma keys while in Finder). On the "General" tab, check the box next to "Connected Servers".