One of my favorite new features on Vista is the instant search feature in the start menu. Just start typing in a program name or file name and Vista will find the program or file for you. You can then launch the program or open the file without having to navigate through the start menu or the file system.
We still use XP at work and the instant search feature would be really cool to have on XP. Recently, a co-worker told me about this tool for XP called "Launchy", which basically does what the instant search feature does on Vista. I've been trying it out. It is pretty snazzy. Check it out here
http://www.launchy.net/