[V9/15/07+] When in the LOH or copy number view, "Chromosome/Export SNP data/UCSC Wiggle format" can export a custom track data file for the selected sample. Checking “Output only current chromosome” will export for the current chromosome. The file can then be uploaded in the UCSC genome browser ("manage custom tracks" button) to view together with cytobands or gene name. You may use key "D" and "I" to toggle to different data views and check "Append to this file" to export multiple types of data into the same file. An example image is displayed below (data from Zhao et al. 2004). (Suggested by Charlotte Schjerling)
View a SNP in UCSC genome browser
[V3/9/10+] At the chromosome view, click a SNP, and select menu "View/Online database/UCSC" to jump to a UCSC genome view like this.