I didn't see anything here that actually explained the reason I see them used.
For practical purposes, a programmer usually has to add one when he is forced to return a thread/exit right in the middle of an operation.
For instance, if you have a multi-state HTTP request, you might have server code that looks like this:
Show form 1
process form 1
show form 2
process form 2
The thing is, every time you show a form, you have to quit out of your entire thread on the server (in most languages), even if your code all flows together logically and uses the same variables.
The act of putting a break in the code and returning the thread is usually done with a switch statement and creates what is called a state machine (Very Basic Version).
As you get more complex, it can get really difficult to figure out what states are valid. People usually then define a "State Transition Table" to describe all the state transitions.
I wrote a state machine library, the main concept being that you can actually implement your state transition table directly. It was a really neat exercise, not sure how well it's going to go over though...
