The Parent tool allows you to create a Parent GameObject for selected objects. This attached objects (children) will follow the movements of the Parent GameObject.
Example of two Spheres attached to a Parent (with Child Rotation).
The Parent tool can be found under Utilities > Create > Parent
Parent with Child Rotation
Select the object(s) you want to create a Parent for.
Child Rotation means the Parent will be created with the same rotation as the first child (GameObject) in the selection, setting the child to local rotation (0,0,0).
Parent with Identity Rotation.
Identity Rotation means that the Parent will be created with local rotation (0,0,0).
You can drag GameObject in the Hierarchy to remove or add them to the Parent. See example below.