We have been covering what I and many others have been calling "Web Categories" for a while now. They look like this in the Google search results pages.
They went under several revisions, but this is the look that seems to be sticking, for now.
In addition, we explored several speculative reasons as to why a site or query may show those links.
But driven by more discussion in the forums, Vanessa Fox from Google has decided to give us Google's perspective on them. She posted an entry she named Information about Sitelinks, which links to a new page in the Webmaster help center on How do you compile the list of links shown below some search results?
(1) Well, now we know it is not called "Web Categories" it is called "Sitelinks."
The links shown below some sites in our search results, called Sitelinks, are meant to help users navigate your site.
(2) How do you get them? By your site structure and navigation.
Our systems analyze the link structure of your site to find shortcuts that will save users time and allow them to quickly find the information they're looking for.
We only show Sitelinks for results when we think they'll be useful to the user. If the structure of your site doesn't allow our algorithms to find good Sitelinks, or we don't think that the Sitelinks for your site are relevant for the user's query, we won't show them.
At the moment, Sitelinks are completely automated. We're always working to improve our Sitelinks algorithms, and we may incorporate webmaster input in the future.
Forum discussion at Search Engine Watch Forums.