Since Windows 95, when you right-dragged an item and selected "Create Shortcut", you got "Shortcut to X". But in Windows Vista, the name is now "X - Shortcut". Why is that?

Two reasons.

The first reason is globalization. The template "Shortcut to X" made X the object of a preposition. In some languages, this may require changes to X (for case) or to the word "to" (based on grammatical properties of X). Constructing sentences from phrases is a dangerous endeavor due to language issues like this, and the new formulation sidesteps the issue by not trying to make a phrase out of the result.

The second reason is sorting. With the new format, the shortcut sorts next to the original object, making it easier to find. (This is particularly helpful when you're in an auto-sort view. "Hey, where's that shortcut I just created? Oh well, I'll just make another one.")