As someone who likes to keep favourite photos on hand at all times, for admiring and showing off to others, this is all very welcome. Here's a walkthrough of how it works:
There's a new control on the toolbar, tapping it adds the image as a favourite though, typically for Windows 10 Mobile, there seems to be a cloud sync action going on before the icon changes to 'solid' - I'd have liked to have seen the icon change first and then do the sync in the background! Come on, Microsoft, think about it!
A 'Favourites' album is now present, with contents as you'd expect - perfect.
Again mirroring what happened under Windows Phone 8.1, you can choose what to show on the Photos live tile - pick 'Favourites' and the tile cycles through these very prettily.
Make sure you keep up to date on the Insiders Programme with a daily visit to the Store and 'check for updates' (just in case). And watch out for that new Insiders firmware coming very soon, which will tie up a lot of performance loose ends.