Dexterity: I'll leave it to Gary to define exactly what the Dexterity stat covers: "hand-eye coordination, agility, reflexes, precision, balance and speed of movement". It's no surprise that a high score in Dex means that all of these attributes will be superior, but the note about low Dex is a curious one. It indicates that some character with a low Dexterity may actually be superior in one of the attributes listed, while inferior in others. It's something of a moot point, because it's all the same mechanically, but it could lead to some interesting situations. Or to some players trying to use it for some creative powergaming.
Dexterity is most useful for thieves, as it grants them an XP bonus. It also affects their special skills, which (so far as I can tell) is a first for the core D&D rules (the rule was introduced into the game in The Strategic Review #7). The bonuses and penalties given here in the PHB are different, of course, because a dexterity score of at least 9 is now required to be a thief.
A high or low Dexterity also affects attack rolls made with missile weapons (a rule present since the original D&D booklets, though here the modifiers can be higher). Your reaction speed when surprised is also modified, but I'll cover that in more detail when I cover Surprise. (Not that I'm particularly looking forward to opening that can of worms.)
The other thing that Dex modifies is defense, primarily Armor Class. Previously, when this rule had been introduced in Supplement I: Greyhawk, the bonus had been restricted to fighters. Now it can apply to every class. It's also noted that this modifier affects saving throws against spells that can be dodged, specifically calling out lightning bolt and fire ball. (The wording of this paragraph is also one of the best arguments in favour of 3rd edition's AC system that I've seen. Gary jumps through some linguistic hoops explaining that bonuses subtract from AC, while penalties are added. Simply flip the system so that a high number in AC is good, and the necessity of the explanation goes away.)
I have to point out that anyone with a Dexterity of 5 or less can only be a cleric. It makes sense: thieves have Dex as their primary stat, magic-users need to make intricate symbols with their hands, and fighters require a certain level of hand-eye coordination to wield weapons. A cleric just has to be able to pray, and wave a holy symbol about.
Constitution: This stat represents a character's general health and resistance to all manner of harm. There's no class that uses it as a prime requisite, but it has a lot of mechanical effect on the game. As introduced in Supplement I: Greyhawk, it provides a hard limit to the amount of times a character can be raised from the dead (barring wishes and other magic). It's clarified here that even if a character's Constitution score is raised in some manner, the number of times he can be resurrected remains the same (and that a rod of resurrection is considered the same as using the spell). This also seems to be the introduction of a penalty to Constitution upon being raised: each time it happens, the character loses 1 point.
As in OD&D, characters' hit points are modified by Con. Introduced here is the rule that fighters (and their sub-classes) can get a higher bonus than other classes. This is part of the strengthening of fighters in relation to spellcasters that Gary was going on about earlier in the book. Frankly, thieves could have used a bit this as well.
The percentage chance for surviving a resurrection is back, but the numbers are a bit more favourable to players here than they were in Supplement I. It's clarified here that any character that fails this roll is "completely and totally dead forever". Not much wiggle room in that wording, I'm afraid.
System Shock (previously known as "probability of surviving spells") is also back, with numbers in the same ballpark as the original table. The rule was a vague one before, but here it's been greatly clarified: any magic that causes aging, petrification, or polymorph requires the character to roll against his System Shock chance, or die instantly. I can see the rationale here: anything that greatly and rapidly alters a person's body could kill it. I've little doubt that it came up as a way to stop the abuse of certain spells, polymorph in particular. In practice I'm all for it, so long as players are aware of the consequences. As a calculated risk System Shock is fine, but not as a surprise sprung on the players I don't care for it. Gary has it spelled out right here in the PHB, so I guess it's all cool. (Though now that I think of it, several spells have hidden effects in the Dungeon Masters Guide that could System Shock a player to death. Not cool, Gary!)