If you change your theme from the default to one of the other ones "Shop", "Downloads", and "Gallery" show up on the menu. It might not be this way with all other themes, but I changed mine from the the default to "Royal Green" for this specific reason. I've only tried Royal Green for this, so I can't say for sure how it is on the others, (I suppose a staff member could clarify that).
I do agree that these things should be standard on all of the available themes here...especially the default.