They're called Sitelinks. This is what Google itself says about them: How does Google compile the list of links shown below some search results?
Also have a look at Matt Cutts' short presentation about the anatomy of a search result.
Vanessa Fox provides the most detail about how they work and what you can do to influence them.
Summarizing mainly from Vanessa Fox's blog post:
Google auto-generates them, based largely on easy-to-crawl, relevant, internal links with short titles on your site's homepage. They'll only appear on the first search result, and only when Google thinks they're useful. There can be up to 8 sitelinks.
As the Google support page also says, you can view them for your site in their Webmaster Tools and block those ones you don't like. You can't add any yourself.
A recent Webmaster Central blog post adds that a single row of up to 4 sitelinks can appear on more results than just the first one now.