Basically, a feature line is a powerful 3D polyline. You can grade from them as mentioned by Dave but you also have some great editing tools. Another thing that's nice about them is they know their relationship to other feature lines in the same site. For example, if you have two feature lines that cross each other and you edit the elevation of the crossing in one feature line, the other will change as well.
Oh yeah, you can also have curves.
Brian