Not in one window. If the folders are nested in in different directories you need two windows. There is that feature where if you drag a file over a folder in the sidebar, and hover, it will open the folders you want in series, but it's very awkward. Unless I'm missing something, which is always a possibility!

As far as I can tell Windows and OS X are the same in this respect. I just moved a file from my Documents directory to my home directory on both systems, and the steps were pretty much identical.

hmmm, you can do that if the folders are close to each other in a directory. How do you do if each is nested deep in different paths? On Windows explorer you can drop down the folders to open any folder in the left side window to drag a file from the current folder?