Connecting shapes and smart arrows
Connecting shapes 
On the Connections stencil included with OmniGraffle 5 is a new kind of object: connecting shapes. These are objects that can be styled like shapes, but connected to objects like lines.
To add a connecting shape to your document, just drag one from the Connections stencil and then style it however you like.
When you select a connecting shape, notice that it has a red "source" handle and a green "destination" handle just like a connection line. Drag one of these handles to another object to make a connection. The shape stretches and reorients to stay connected just like a line, but can have a shape and a fill just like a shape. How about that!
Smart arrows
Furthermore, the various arrow shapes in OmniGraffle 5 have some smart behavior, whether they are connecting shapes or not. When you resize an arrow shape, it tries to keep its arrowheads the same size, rather than stretching them along with the rest of the shape. If you want to change the size of the arrowheads or the thickness of the stem, click the blue handle in the crook of the arrowhead and drag.