Google have been generating sitelinks for websites for a while now, but it seems last week they added a new feature where sitelinks appear in one line underneath the website listing:
There appears to only be 4 sitelinks generated and from what I've seen, it seems to be a fairly random selection of sitelinks that are used for these chosen 4. Google, like they do with most of their search algorithms, haven't specified how these sitelinks are generated, nor do they say how or why a site may generate them. My own personal opinion is that domain age has a lot to do with it, especially if that domain is "trusted" by Google.
I quite like the links and the way that they've implemented them; it's fairly unobtrusive and let's you jump to a certain section of a site quite easily. The only thing I'm not so sure about is whether the right sitelinks are shown for the type of search you are doing as it appears to me to just show the same 4 sitelinks which may not necessarily send you directly to the part of the site you might be interested in.
If you are a Webmaster, and you want to control your sitelinks, you can do so to a certain extent. The Google Webmaster Central Blog has a post on how you can provide feedback on your sitelinks so it may be worth you having a read of that post.