One feature I love on my Canon 40D is the "Custom Function" settings, where you can store all your current settings (and I mean, ALL the current camera settings) for quick access - I have one pre-set for general dog-park photos, and one for action shots.
In both cases, I start with 400 ISO (dropped down to 200 ISO in the summer, when the light is better), and aperture-priority ("Av" on the Canon), then store the setting using my 50mm f/1.8, wide-open, so the camera will always default to the widest aperture with whichever lens I use, then provide the fastest shutter possible.
For the action shots, I set the metering to "partial" (exposure based mainly on about 15% of the center of the frame - especially useful with dark-colored dogs), and the focus type to "AI SERVO", which continually tracks moving objects, along with locking the center focus
point to make sure it tracks the dog and not the background as I pan across.
For the non-action setting, I use "Centerweighted Averaging" for the meter mode, and standard "AI FOCUS" with all focus points turned on as the default.
Great thing with this camera is I can then switch back and forth between the two defaults with a quick twist of the dial
Works fairly well most of the time... this is shot with my buddy's 100-400 F4-5.6L