Generating a passkeyMac OS X generates a passkey, which must be entered on the other device with which it will pair, automatically. If the other device requires entry of a passkey, such as a headset with a built-in code, Mac OS X asks the user to enter that number.
It's not really something I think users need to make a choice about, since deciding not to use a passkey creates a security risk—even if it is a one-time connection. Mac OS handles this step more gracefully.
Vista makes this step into a decision for the user. One can: have Vista generate a key (basically, do what Mac OS X does by default); enter a passkey provided with the device; create a passkey of their own, or; decide not to use a passkey.
Vista then reminds you that "You should always use a passkey unless your device does not support one." Well, then, make it easier by having the OS present the appropriate choices. This is a case where the Windows wizard approach becomes unnecessarily complex.