Updated: Yahoo has had “Quick Links” since 2005. Barry had done a great job you can check the history at seroundtable here. Nice catch by barry since 2005 till now !!
Seems like after Live Search and Google Search Its Yahoo Search this time .. Suzukik of Webmaster World pointed this out in his thread. Yahoo!! announced something similar in the beginning of 2006 which was limited to Wikipedia.
It is not necessary if u have SiteLinks with Google then you will get them with Yahoo!! and Live.