Ok - this probably isn't my "favorite" new feature in Vista, but for a small feature, it is very useful.
In Windows Explorer, you now have the option to use a check box to select one file or multiple files. No more holding down the control or shift key to select multiple files (unless you want to).
To ensure you have this turned on, in Windows Explorer check under Tools (Just hold down the Alt button to make the file menu appear) - Folder Options - View Tab and scroll down until you see the options below. Check "Use Check Boxes to Select Items".
It's a small feature that will add a lot to your productivity.