They are called google sitelinks. You can remove certain pages of your site from showing in them, but not add them. Google, if your site is layed out well, will naturally develope them for busy sections of your website.
This has nothing to do with sitemaps (i have 2 sites with sitelinks in google and only 1 has a sitemap)
From google themselves, on the sitelinks page inside a logged in google webmaster tools
Quote:
Sitelinks are additional links Google sometimes generates from site contents in order to help users navigate your site. Google generates these sitelinks periodically from your site's contents.
Because we generate sitelinks dynamically, this list can change from time to time
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