The Shift key can be very useful on Windows Vista. For example, type in the name of the application in the Search box and press Ctrl+Shift+Enter:

This will start the application as Administrator. Next is Windows Explorer, where Shift + right-clicking on a file will yield a different context menu:

The new feature is "Copy as Path" - allowing you to copy the full file path to the clipboard. I need that quite often, so this is a welcome addition indeed.

Speaking of Shift +  right-clicking: when you do that without a file selected on the right-hand pane in Explorer, you get another option, namely "Open Command Windows Here":

That is most useful!