I'm a bit tired of hearing about how Windows Vista is no good, it's just a bloated new version with a new useless graphical user interface with a lot of bling bling. I'm far from a Microsoft "fanboy" but come on. It's a great upgrade. As far as "cool" effects go, well it is behind MacOS X , and basically Linux too, in some of those areas...
Wikipedia lists a couple of sections with the new and improved features, first the obvious ones like the late but very improved security, and to the right there are further links to descriptions of things such as the the totally rewritten network stack etc.
For some more interesting technical details about what has happened with the actual kernel:
Inside the Windows Vista Kernel: Part 1
Thread priority and scheduling
File-based symbolic links
Canceling I/O operations
Inside the Windows Vista Kernel: Part 2
Startup and shutdown
Inside the Windows Vista Kernel: Part 3
A part from the kernel we have the much improved network stack (better performance and wireless connections are now actually not just emulated wired connections among other things), new and better driver model, and for gamers of course DirectX 10. Shadow copy ("previous versions") is another really cool feature, and it really works and has saved me at least once from a couple of hours of frustration.
For me Vista's instant search for everything you do (with a simple win-key activation, an important detail), snappier interface (thanks to various system improvements), quick startup-times and improved security, quite a few small improved details in the interface (like the address bar's breadcrumbs feature) etc are most welcome.
Having said all that, there is one thing that annoys me a bit in Vista. The focus handling in the file explorer. It is not always totally clear where exactly the focus is and in one instance it switches focus from the right pane to the left (tree) pane. The concept of inactive focus (the focus in the non-focused pane) can be confusing if you are not paying attention. A number of times I've accidently deleted the wrong folder with my usual shift-delete key combination (no confirmation). For example: If you select a folder in the tree, and then select files from inside that folder in the right pane and press delete to delete just those files, it is possible that it could delete the entire folder as it never actually switched focus to the right pane. Instead it just highlights them with the secondary/grey focus color.