This is not a new feature of whidbey, it was there in .net framework 1.0 itself. I was searching in google for new appsettings binding feature in whidbey( will post about it later..), i found this information in Paul Wilson's blog. You can place your appsettings detail in some other file other than web.config/app.config and you can reference that file in your web.config file. I feel major advantage of this option is, it wont restart the application if you change anything in your custom file (actually disadvantage in most of the times...) unlike web.config file. You can use this feature as advantage to store some data for which application restart is not required immediately. Yesterday also somebody asked in asked in the newgroup how to avoid restart of application after doing some changes in web.config. He can use this feature to do that.
For more details, refer these links