Let's say you're running gnome in Linux. You've installed some other window manager (like XFCE or fluxbox), and you want to try it but don't want to close all your applications and log out (to log in to the other window manager). You can run the other window manager in Xnest. Xnest is like running another X11 instance inside an application window. Try running the following (for fluxbox):
Xnest -ac :1 &
DISPLAY=:1 fluxbox &
This should run fluxbox in a new window. You get all the features of a window manager (wallpaper, multiple desktops, etc.) inside an application window.
I've yet to come up with a particularly compelling use for this. It's mostly (to me) just a stupid human trick. But it may intrigue some of your more easily-impressed friends.