Some of the OpenJDK code is covered by the classpath exception, documented as follows (the second paragraph constitutes the exception):
Linking this library statically or dynamically with other modules is making
a combined work based on this library. Thus, the terms and conditions of
the GNU General Public License cover the whole combination.
As a special exception, the copyright holders of this library give you
permission to link this library with independent modules to produce an
executable, regardless of the license terms of these independent modules,
and to copy and distribute the resulting executable under terms of your
choice, provided that you also meet, for each linked independent module,
the terms and conditions of the license of that module. An independent
module is a module which is not derived from or based on this library. If
you modify this library, you may extend this exception to your version of
the library, but you are not obligated to do so. If you do not wish to do
so, delete this exception statement from your version.
The exception means that you can link the relevant code with other code and use the license you wish, as long as you respect the license of code (modules, libraries etc.) which isn't covered by the classpath exception. As I understand it this effectively means that the license covering the code placed under the classpath exception has no effect on its use (and redistribution once linked), only on its modification.
The classpath exception is just a way of allowing users of this implementation of the Java platform (compiler, VM and libraries) to use it for projects without affecting the resulting licenses. This is typical of compilers and platforms, since most compiler and platform authors don't want their use to restrict the licenses which can apply to projects using them.
The OpenJDK itself is covered by the OpenJDK assembly exception:
Linking this OpenJDK Code statically or dynamically with other code
is making a combined work based on this library. Thus, the terms
and conditions of GPL2 cover the whole combination.
As a special exception, Sun gives you permission to link this
OpenJDK Code with certain code licensed by Sun as indicated at
("Designated Exception Modules") to produce an executable,
regardless of the license terms of the Designated Exception Modules,
and to copy and distribute the resulting executable under GPL2,
provided that the Designated Exception Modules continue to be
governed by the licenses under which they were offered by Sun.
This just means that you can use the OpenJDK under the terms of the GPL version 2, including code in the OpenJDK which isn't covered by the GPL.