The best answer IMO is grawity's bold headings: https://superuser.com/a/347946/24500
I'm thinking we might as well throw in all the "How do I make a hard/soft link" questions into this list also.
This question refers to Shortcuts: What is the difference between Symbolic Link and Shortcut?
We can probably just merge something about shortcuts into grawity's nicely formatted answer.
I have no idea how to tag this.