The Task List is for user tasks and todos, whereas the Error List is for errors and warnings.  In case you are from back in the '02 and '03 VS days, the Task List used to do both, until it was split into two different tool windows in '05.

This blog post has moved to http://saraford.net/2008/03/13/did-you-know-you-can-use-the-task-list-to-create-user-tasks-that-are-separate-from-your-code-171/