Its the operating system, Mac OS X, that runs on Macs. Simple to use, built on top of Unix (which is a far better foundation than the NT roots of Windows 7), and far less susceptible to security issues. There are features like Time Machine that makes backup really simple, you'll only have to reboot very infrequently, and you don't have to worry about stuff like your registry getting corrupted (there is no Registry in OS X). No messing around with a ton of drivers and such trying to get hardware to work properly too.
Since Apple makes both the OS and the hardware, the integration is a lot better, they both function as a whole. Case in point is gestures on the trackpad, and the glass trackpad in itself is a joy to use. The industrial design of the Macbooks is all about simplicity... you don't get ports all over the place, you don't get a ton of vents wherever its convenient to the manufacturer to place them.
The premium you pay is for the integration between OS/hardware, the industrial design and customer service and handholding if you need it too.
Plus you don't get a machine with a ton of bloatware loaded on it. And you get useful apps like iPhoto and iMovie which are great for organizing photos and editing home movies.