Update september 2010
It was really hard to have to set the settings in the small preview window so the script is now a tool that updates directly in the workspace.
Here's a video: http://www.youtube.com/watch?v=vtJHgcmoC8s
And here's the script: http://dauid.com/tools/scripts/ds_instant_limb_tool.zip
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My most advanced script yet: http://dauid.com/tools/scripts/ds_instant_limb.zip
Video: http://www.youtube.com/watch?v=f_9UoP93k-Q
EDIT: Ignore the first limitation that I mention.
Preemptive answers to questions:
-But ponysmasher, I don't rig my limbs like this script does, what about me?
Sorry but I write scripts for me first and foremost and this is how I prefer to rig them.
-But ponysmasher, couldn't you just as well create one limb and then import that in other projects? Why write a script?
Shut up, that's why...
No, but this is faster, more flexible and a lot cooler.

-But ponysmasher, will you never rig a limb manually again?
Sure I will. Sometimes you want more detailed limbs or limbs in another style or whatever, but in a lot of situations this will do.
I'll probably use it for legs the most.
-But ponysmasher, what about the two limitations that you mention in the video?
EDIT:Thanks to HeyVern the first limitation is gone.