The Carbonite addon does this (along with a bunch of other stuff). Pick a place to go, put an "objective" on your map, and - viola' (spelling?) - you've got a line to where you are going!
By-the-way, Carbonite (as far as I know) has always done this (and it's not exactly a new addon).
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Ahhhh, the vagueries of the aging mind. Wait.... What was I saying?
Carbonite <----- GitHub main module (Maps ONLY) download link. The other modules are also available on GitHub.
Carbonite-CLASSIC<----- GitHub link to Carbonite Classic. Thanks to ircdirk for this!