Drag and drop holding Cmd and Option to create an alias, just like a bookmark. Or right-click and select to create an alias. These are live, and will follow the original file wherever you move it on the computer.
Additionally, OS X gets symbolic links from UNIX. For all intents and purposes, the symbolic link is the original file (UNIX folders are files), not a shortcut. And it gets hard links, a level lower, which are in the file system as another name for the file's data. A system of multiple hard links is used to run Time Machine's backup.
Windows can do these too, but it's pretty difficult and dangerous unless you know what you're doing. A program called ntfslink can smooth things a little.
You lost me at “alias”...I hope users don’t have to know anything about UNIX file systems to create shortcuts or back up :-p I sure don’t know anything about them.
On a side note, do you know anything about iTunes? I got an iTunes gift card for Christmas ‘06 and it’s just been sitting on my desk. I thought I’d seen somewhere that they expire after six months, but I can’t find anything on the Apple web site or by a Google search. I’d like to know one way or another if the card is still good.