Correction of my own post.
Junctions can be to external locations. They just can't point to files and they don't seem to work with DFS link locations. I have it in my best practices notes to use symbolic links for external systems or brittle connections (removable drives, skydrive), junctions for internal systems (usually for binding a second drive directly into a user profile), and hardlink for intra-drive.
I highly recommend link shell extension as mentioned by others.