Screen Options will give you more advanced settings options for almost every part of WordPress, including Menus.
You may see a lot of different options here, but for now, we'll focus on the advanced menu properties; Link Target, Title Attribute, CSS Classes, Link Relationship (XFN), and Description.
Link Target - this gives you a check box that enables you to choose to have this link open in a new tab. This is especially handy if you are adding links to outside resources so that your visitors do not accidentally leave your site and are later unable to find their way back.
Title Attribute - here you can add some more information about your link, such as important keywords, or a bit more of a description. The title attribute will appear as a tooltip when your visitors hover over your menu items.
CSS Classes - here you can apply a custom CSS class to an individual menu item in order to make it stand out from the crowd.
Link Relationship (XFN) - this option is a bit trickier, and we'll refer to the WordPress Codex for an in-depth explanation.
Description - some themes will allow you to have a short description below your menu items in order to further explain what each link offers. If your theme has this option, this is where you would fill in that information.