One is the transparent intergration with COM objects, allowing you to access objects in another process (possibly from a different executable) in exactly the same way as in-process object. All the marshalling is done under the hood. The only problem with this is that the execution of a single statement could be intermixed with another statement in another thread. I once had to deal with a nasty bug that was obscured by this fact, which was actually caused by using a programming mistake where someone had used a global variable for something that should have been a method argument.
The other is the very nice event mechanism where there is no need to (un)register event handlers. They are automatically registered and unregistered. Very powerful mechanism that I started to use more and more the longer I worked with VB6.