One great feature of Unix-like file systems is the ability to make links to other files and directories. Windows has had the ability to make shortcuts for a long time, but only since Vista has it had the ability to create soft (symbolic) links to files and directories and hard links to files.
You may be asking yourself, "What are links and why should I care?" In short, links work better than shortcuts and can allow you to do things you otherwise wouldn't be able to do.
For example, if you use Dropbox, you know that only files and folders in your Dropbox folder get synchronized. But, if you make a hard link in your Dropbox folder to a file outside of your Dropbox folder, it will get synchronized because the file now lives in both places. It does this without taking up any more space on the disk. Cool, right?
The following pages explain how links work and how to use them in more detail:
Using Symlinks in Windows Vista - The How-To Geek
How-To: Use Symbolic Links to Master Vista's File System