Recent versions of WordPress have taken a queue from Janis Elsts’ One Click Plugin Updater and made it *much* easier to keep plugins up-to-date without having to fire up FTP. The problem is that WP seems to use permissions of it’s script files to determine whether or not plugins and themes can be uploaded to the server or not. Really WP should be looking at the target directory rather than the executing script; consequently I assume most folks just assign web server ownership to the entire WP source tree. Which, frankly, kind of freaks me out security-wise.
If you’d also rather avoid recursively chown’ing the WordPress tree to your web server, then simply give web server ownership to three files in the wp-admin directory: plugin-install.php, plugins.php, and update.php. Of course the web server will also need to own the plugins directory (and everything therein), the upgrade directory, as well as the wp-content directory itself. The “upgrade automatically” links should now work without kicking you to the “Connection Information” screen.