If you mean a link from a page in Google or whatever - that happens to be the holy grail of search marketing
Its useful for the traffic that searches for a required topic. If Google thinks your page should have site links, you'll see the generated site links in all your SERP's.They are completely determined by Google and you have nothing to do with it
Check this article about Google Site Links. Notice though that they are not directly related to XML sitemaps.