I find the favorite links pane one of the best new features in Vista. Actually the favorite links pane was available in XP too, but you could not make it stay always on and it had another major disadvantage - the folder was for IE favorites by default. But one could have made a separate folder for local folders and use it very much the same as the links folder in Vista.
The best thing about links folder in Vista is that you can use saved search folders saved in there to quickly open file lists made by your own criteria using search folders. Actually I copied the pre-defined search folders into the links folder and now they are available everywhere on explorer windows. You might not realize this from the very first moment, but this is a huge productivity boost in working with files and folders on your computer. Just try poking around with search folders, then save the most useful searches and copy the saved searches inside your links folder. You'll be finding your most frequently needed files A LOT FASTER without conducting too many separate searches.
The idea of using links pane for saved searches came from browsing trough
Paul Thurrott's website and viewing early Longhorn UI screen shots. I was browsing to look for removed features in the final version when this idea stroke me last night...
Use the directions here to create personalized searches