I know! I was as surprised as you are!
“Jump Lists”, basically, are a new feature of the Windows 7 Taskbar. As many of you know, Windows 7 lets you pin icons to the new Taskbar in sort of a strange marriage of the old Taskbar and the old Quick Launch toolbar from XP and Vista. If you have an icon pinned to the Taskbar, you can right-click on it, and for some programs, you’ll see a list of sites or documents or whatever that you’ve recently visited or used.
That, in short, is a Jump List. You know the Recent Documents feature? Basically every program pinned to the Windows 7 gets its own Recent Documents feature (if the program supports Jump Lists, of course).
I’ve found this is really useful for Windows Explorer and the Remote Desktop Client. Like, say you visit a particular folder frequently, you can pin Explorer to the Taskbar and then add that folder to Explorer’s Jump List. Or if you’re like me, you probably use Remote Desktop Client a gazillion times during the day. You can pin your most frequently visited Terminal Servers to RDC’s Jump List, which can save a lot of time when you’re in a hurry.
It’s this kind of well-thought out feature that will make Windows 7 more successful than Vista; Vista did not have very much that was well-thought out.