Transport rules are a new thing for Exchange, in it's latest incarnation (Exchange 2007), and it allows for some pretty interesting configuration and behaviour when a mail is in transit. If you're familiar with earlier versions of Exchange it's probably best to compare them to Event Sinks, only that they're much more friendly.
If you don't know what that means then a more apt description would be simple to create rules, that allow you to do anything from append text to the bottom of an email, to apply filters on messages between both internal and external users. If you use the GUI think of an Outlook rules style interface that generates rules which are actioned at the server.
This allows you to do all sorts of cool things. For example even if you don't have an Edge Transport server you can block incoming emails from certain recipients. You can prevent two internal users from mailing each other if a message contains certain strings. You can append a disclaimer to all outgoing emails.
If this has tickled your fancy there are 2 ways you can check it out;
The cool thing about transport rules is that you can have a bit of fun with them, as things like bounce messages are completely configurable. So if you're wondering why you're receiving weird error messages, from an Exchange server, you might have a new potential answer.#5.7.1 smtp;550 5.7.1: Computer says no…