Many changes have been made to the actual desktop experience. Xfce 4.4 introduced the ability to place icons on the desktop, but it was still rather rudimentary. Xfce 4.6.0 adds the ability to lasso multiple icons using a selection box, making the whole icon-on-the-desktop experience on Xfce a little less like 1988. It also comes with a new desktop menu which allows you to manipulate files like Thunar does.
The panel has seen some major work as well, particularly in the area of multiple display setups. The clock applet has been rewritten to use less system resources, and the notification area can now be tweaked to show only those icons you want it to (like Windows 7 and KDE 4). The sound mixer has been rewritten to make use of Gstreamer, adding support for managing multiple sound cards.
The session manager now supports restarting applications after a crash, so you're not left with an empty desktop. It should also work faster, and the configuration dialog has been made easier to use. It now also supports hibernate and suspend out of the box. The settings manager has been completely redone, and several settings panels have been reworked as well.
Xfwm, Xfce's window manager, has been improved greatly. It can now detect unresponsive windows and offer an option to kill them. In addition, the "fill" window action has been added, which will expand a window to its largest possible size without overlapping other windows. Of course, many bugs have been fixed, the compositor has been improved, and it has been made multiple monitor aware.
Thunar has received some love as well, allowing you to set backgrounds and settings per folder, as well as being able to use the mouse back and forward buttons for navigation. In addition, volumes currently not mounted will appear ghosted, making it easy to spot the state of volumes.