linkMaker.exe provides a better interface to create shortcuts, symbolic links* and ntfs hardlinks/junction points. It makes all options available on one screen, and tries to auto-fill as much info as it can. Shell integration is provided for the 'new file' menu and the right-click drag menu.

*Symbolic Links are similar to shortcuts, but are more transparent (most apps can't tell the difference between a symlink and the target file). I don't think Microsoft has ever provided a GUI to create them, but they're quite useful for redirecting files.