Comets, planetary rings, exposed dusty surfaces, and the zodiacal dust cloud are all examples of environments where dusty plasma effects establish the size and spatial distributions of small grains. Simultaneously, dust often influences the composition, density, and temperature of the plasma surrounding it. The dynamics of charged dust particles can be surprisingly complex and fundamentally different from the well-understood limits of gravitationally dominated motions of neutral particles or the adiabatic motion of electrons and ions in electromagnetic fields that dominate gravity. In this review we focus on observations that are best explained by theories concerning dusty plasma effects at Saturn. In addition to presenting our current models we also discuss our expectations for new discoveries based on existing observations at Jupiter or on purely theoretical considerations. Our intent is to give an up-to-date overview of dusty plasma effects in Saturn's magnetosphere and to draw attention to several outstanding problems that could be resolved by the Cassini mission.