I know its a simple menu item somewhere, but I can't find it anywhere! I really want the sidebar to always show when I open a new Finder window. Can anyone tell me how to do this?
Select Finder and click View → Show Sidebar or press ⌘ cmd + ⌥ alt/option + S.
A tip when it comes to menus: if you go to the Help menu and search for what you want. It will highlight the result in the menu if you hover over it.