It is incredibly useful with blogs, forums and any site that covers a very nice topic, over and over again. This allows Google to show what they think is the best result for the query at the top and then show an additional four results from that site that also makes sense. Plus Google is able to show the date and number of posts in that thread.
Why didn't I call them Forum Sitelinks? Well, it doesn't only apply to forums, it also applies to blogs and similar sites link that.
In any event, it is a nice search feature.
Forum discussion at WebmasterWorld.