Back in August, Google began testing Sitelinks for AdWords, now it is official. The Google AdWords blog announced it last night, telling us this is a feature specifically designed to provide "users with more options, you can create richer, more relevant ads that improve the value of your brand terms and other targeted keywords." The feature will show up to four additional links under the main ad for ads that "meet a certain high quality threshold."
Of course, this is a lot like Google Sitelinks, the ones you see in the organic listings.
Again, not all advertisers get this option. To see if you have it, go to Campaign Settings tab -- it would appear as "Show additional links to my site" under the "Ad extensions" section. For more details, see the FAQs on Ad Sitelinks.
Forum discussion at WebmasterWorld.