With the return of the Start menu in Windows 10, we suddenly have a wide range of places in the UI where we can pin frequently-used items for easy access. Which of these you use will depend on how you work, of course, and some options may be superfluous to one user but indispensable to the next. The Start list in the new Start menu is one such example.
There are others. You can pin Modern apps and desktop applications to the Start menu (or Start screen), of course, and to the taskbar. You can also pin items to the Favorites or Home views in File Explorer. But if you're coming from Windows 7 or an older Windows version, you may be more comfortable pinning items to what is now called the Start list.
The Start list is that area below the user and power options and above the Most Recently Used (MRU) list on the left side of the Start menu. Microsoft auto-populates it with a few items—some of your special folders and Settings—but you're free to remove any or all of these items and add your own.
To remove an item from the Start list, right-click it and choose "Remove from this list."
If you're not interested in using the Start list, remove each of the items you see there. (If you do this, I recommend pinning Settings to the Start menu—it will appear with the tiles on the right side of the menu—so that it is easily accessible.)
To add an item to the Start list, simply drag it into the Start list area. You can do this from within the Start menu of course, but you can also drag an item from the desktop or a File Explorer window: Just drag it onto the Start button first, and after the Start menu has opened you can drag it from there into the Start list.
What can you add to the Start list? Virtually anything. Documents and other files. Any folder. Desktop application, Modern app, or web app shortcuts.
You can also reorder the items in the Start list using drag-and-drop.