I agree, "open command window here" is a great feature of Vista.
There was a similar "command prompt here" powertoy back in the Windows XP days, but you had to find it, download it, and install it. (Actually I think it was just some clever registry entries, but anyway.)
I learned about it when I started at Microsoft, just a few days before Vista's first release, when a coworker saw me trying to get the XP version of that powertoy working on my Vista dev box. I was very impressed that Microsoft had finally added it as a feature of the OS.
It's got some annoying limitations, though. You can't rightclick on *anything*, and I really wish you could. For instance, as you said, if you have a two-pane explorer window up, you can't right-click on the folders in the tree in the lefthand pane, you have to use the tree navigate to one of the parent folders and then shift-rightclick on the desired child folder in the righthand pane. That maddens me greatly.
Although it is nifty that you can do it on the desktop. It makes the desktop a viable place for me to download and futz with files sometimes.