What are the lesser known but useful data structures

computer-sciencedata-structureslanguage-agnostic

There are some data structures around that are really useful but are unknown to most programmers. Which ones are they?

Everybody knows about linked lists, binary trees, and hashes, but what about Skip lists and Bloom filters for example. I would like to know more data structures that are not so common, but are worth knowing because they rely on great ideas and enrich a programmer's tool box.

PS: I am also interested in techniques like Dancing links which make clever use of properties of a common data structure.

EDIT:
Please try to include links to pages describing the data structures in more detail. Also, try to add a couple of words on why a data structure is cool (as Jonas K├Âlker already pointed out). Also, try to provide one data-structure per answer. This will allow the better data structures to float to the top based on their votes alone.

Best Solution

Tries, also known as prefix-trees or crit-bit trees, have existed for over 40 years but are still relatively unknown. A very cool use of tries is described in "TRASH - A dynamic LC-trie and hash data structure", which combines a trie with a hash function.