The Burgess Shale fossils come from what's known as a lagerstatte - a locality containing a rich variety of fossils, where often even the soft tissues of organisms are preserved. Normally these bits would be the first to go during the processes of decomposition & decay, but the lagerstatte fossils formed when the creatures fell to an area of the seabed where the water was anoxic - no oxygen present, & hence very little decay. The bodies were then rapidly covered in fine-grained silt, which preserved the shape & often the details of the soft tisses as they fossilised.
The Burgess Shale isn't unique: other lagerstatten include the Solnhofen limestones, which provided the scientific community's first sight of Archaeopteryx, not to mention some of the sites in China that have yielded other beautiful fossils of feathered dinosaurs & early birds, not to mention some lovely Cambrian arthropods. And to those sites we can add another in Lebanon, where palaeontologists have found some absolutely stunning fossils of 95-million-year-old octopuses. Stunning for their beauty, their completeness, and for the presence of many transitional features that will help to unravel the tale of octopus evolution.
And as usual, PZ has done a great job of writing about them. But you'd expect that, from someone who's mad about cephalopods! (The comments section is also enjoyable.)