In Photoshop CS5 and newer, you can use the HUD Color Picker. With the brush tool selected, press Alt Shift Right-Click (Mac: Control Option Command Click).
You can hold the Space Bar to lock the color while you move over to the right to change the saturation, let go of the Space Bar and move up and down.
If you would rather use the color wheel HUD Color Picker then first go to Edit > Preferences > General (or Press Ctrl K), and in the HUD Color Picker drop-down select Color Wheel. Then follow the keyboard combination described above to get the Wheel HUD Color Picker.