The menu system in Drupal 6 has been completely rewritten, but most of the changes are under the hood.
There are a couple of usability tweaks for administrators: each menu now has its own admin page (an extra click instead of scrolling a potentially very long page: not sure which I prefer), menus can arranged by drag-and-drop (phew, no more juggling weights) and when you create a new menu item Drupal checks to see if the path you've entered is valid. If not, you'll get an error message: "The path 'example' is either invalid or you do not have access to it."
Which is great. Except you might not want it to be valid if you are quickly prototyping a site and just need some dummy menu items. Or if you perhaps want to link to something non-Drupal on your server, in which case you'll have to use the full URL, e.g. http://example.com/test/test.html. I'll have to see whether this proves to be a pain or not and, if so, work out how to switch the validation off.