It's like a giant shopping mall which spans half the downtown core. Very handy if its raining, snowing or extremely cold outside, and the good thing is that you can walk around without "outdoor" clothes. Bonus if you work at one of the connected buildings so you can easily get food without stepping outside!
It can get confusing at times, but you need to know exactly where you are going to use this efficiently - refer to the map and which building is the nearest to where you are going. The directions are colour coded - blue is north, red is south, orange is west, and yellow is east.