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Machine
A machine is a composite construction that can be created by linking together one or more machine components, which can be accessed from the build → Machine components menu. Currently, machines are very limited in function; their most notable usage is for pumping water. However, Toady One has hinted about using some machines for automatic Hauling in the (not-so-near) future. Core56
Power generators
Windmills m and water wheels w are machine components that provide power. Power generators can be chained together using axles to combine power. Additionally, water wheels can be combined by placing them adjacent to one another in parallel, thereby requiring no extra materials to perform the linkage.
Uses for power
Currently, the screw pump s is the only machine component that consumes power to achieve a purpose. A millstone also requires power to operate, although it is classified as a workshop rather than a machine component.
Screw pumps can also be operated using dwarf labor in place of mechanical power. The millstone likewise has an unpowered alternative, the quern.
Power conduits
A gear assembly g is used to link multiple machine components together. Additionally, a gear assembly can be linked to levers and pressure plates, which can then be used to disengage the gearbox from any linked items. For example, screw pumps can be switched on and off in this way.
Axles are used to transport power over a distance. A horizontal axle h transports power within a z-level, while a vertical axle v transports power across z-levels.
Tutorial
Albedo has written an extensive introduction to machines on the Bay 12 forum, a must read for anyone starting out.