Far as I know, it's there to avoid excessive indentation. You could write
if x < 0:
print 'Negative'
else:
if x == 0:
print 'Zero'
else:
print 'Positive'
but
if x < 0:
print 'Negative'
elif x == 0:
print 'Zero'
else:
print 'Positive'
is just so much nicer.
Thanks to ign for the docs reference:
The keyword elif is short for 'else if', and is useful to avoid excessive indentation.