Taskbar thumbnail previews
This is a pretty cool feature. If you have the Vista Aero theme selected, hovering over any items on your taskbar reveals a real-time thumbnail preview. See example. Note that there is software that can be installed on XP to implement a similar feature.
I have to say, this is a pretty sweet deal...and definitely an improvement with the Vista OS. Users can set different volume levels for every single program running. Maybe you want to hear your YouTube movie, playing in an open browser, and while you do, you don't want Outlook bothering you with the "New Mail" sound. Just single click on the volume button in the notification area of your taskbar, click the "Mixer" hyperlink, and specify the volume level for each program currently in use.
Start menu search box
The search box in the bottom of the start menu is very handy as well. You can choose to have it only search programs in your start menu, or even search all documents and files on your computer. Of course, there is a basic desktop search program that can be installed on XP...but it is handy to have it in the bottom of the start menu, and automatically included in the operating system.