Among other things, it learns your habits and can customize the schedule of when heat or cooling is turned on. It also takes the local weather/temperature into consideration. It will also learn how long it takes to heat/cool your particular house over time. It also has a sensor, so it can work out if you are in the house or not.
It's basically very intelligent and adjusts things over time (all of this is configurable by the way, so you can turn it all off if you like). I was very leary about this before I got the nest, figuring that there's no way it's going to work as advertised, but it's been rock solid for over a year and saved us a lot of money.
Oh, the other thing it does is give you an achievement if you use less power than the lowest X% of users in your state/area. Sounds goofy, but you really do start to care about getting as many 'leafs' as possible! We have conisitently been in the lowest 5% of power use in Wisconsin at our house since getting it (obviously not the last few weeks of course, with the ice age that we're having over here right now!)