From what I remember of my aerody classes, Vortex generators are used to promote "mixing" of air near the upper surface of the wing. This creates a turbulent area and moves the seperation point of the airflow rearward which makes the airflow over the wing more efficient.
Mad Scientist, I've never heard that winglets create thrust! I thought that they created more efficient lift characteristics over the wing area by preventing air "spilling" over the end of wing. Aren't lift and thrust different forces? Increasing lift results in a smaller demand for thrust which then translates into lower fuel flows but they are secondary effects of winglets not primary ones.