I know about sub-domains and I know they are treated by search engines as new sites (not like sub folders). My question is: Why do webmasters create them not sub-folders? I see sub-domains every where (like support.microsoft.com ...etc) why not sub-folders? There must be some befits of sub-domains, right? Another question, if I want to create a blog or a forum in my site (something like blog.mysite,com or forum.mysite.com) will linking to those sub-domains from my main site and back considered as link exchange and hurt my site?
Not anymore, supposedly. Matt Cutts stated they'll be treated more like sub-directories. I have seen SERPs, though, that suggested they have not fully rolled this out. Some of this is just preference. Microsoft could have used microsoft.com/support It should be fine as long as you don't suddenly launch a large number of sub-domains, or suddenly launch a sub-domain with a large number of pages (and your link is sitewide).