They're called sitelinks (according to Google), and they only appear for certain websites triggered by certain keywords. For the privileged sites that receive them, they give the search listing more prominence in search results and expose a bit more of what the site has to offer. But not every site earns sitelinks. According to Google: "If the structure of your site doesn't allow our algorithms to find good sitelinks, or we don't think that the sitelinks for your site are relevant for the user's query, we won't show them."
The sitelinks that appear represent what Google thinks is important on your site.
But Google doesn't always get it right, and may show links to pages you don't want anyone to land on. For example, Victoria's Secret's sitelink titled "Victoria's Secret Online Shop" actually leads to an account sign-out page.
The bad news for VS is that link probably gets high click through, and many have stumbled upon it already. The good news is VS can tell Google, through the Google Webmaster Tools console, to block that link from sitelinks. That frees up that spot for another link that would be of more value.
Go ahead and Google your own brand keywords (yourcompany.com, yourcompany, your company, your company's product, etc). Check out each site link to verify that you actually want that link to show up. If you want to block any, just follow these directions (you'll need to sign up with Google Webmaster Tools first)...
To block a sitelink, first ensure that you have verified ownership of the site. Then:
1. On the Webmaster Tools Home page, click the site you want.
2. Under Site configuration, click Sitelinks. If we have sitelinks information for your site, we'll display a list of sitelinks.
3. Click Block next to the sitelink you want to remove. Please let us know why you want to block the sitelink - it will help us improve the way we generate and display sitelinks.
For more tricks you can do with Google Webmaster Tools, check out Are You Taking Advantage of Webmaster Tools? and SEO Health Checks - Regular Housekeeping Tasks for Your Website's SEO.