This is very cool and while it wouldn’t be appropriate for every ad, there are places were this could be very helpful. Sitelinks enable you to link to multiple services within a single ad. Imagine company listings for a business like My SEO firm with direct links to services like Search Optimization, Internet Marketing, and Website Audits. I am not sure how this will play into Google’s quality score algorithm, but I am sure this aspect hasn’t been overlooked. The downside, it only works when your ad is in the top-most spot:
This image from RustyBrick:
Here’s where the sitelinks are added in the campaign settings: