Add a new related item while editing a post, without leaving the current post.
Simply, it provides a method to add new relationship items while editing a post or page, so you don't have to leave your current screen to get a new item to show up. Even if you were to add in a new window, the new item may not show up in the window you are working on. It is just a time saver, plain and simple.
The desire was to use Thickbox initially, but WordPress administration does some controlling of the size of the thickbox for the media upload and overriding these defaults would be problematic for site I was working on at the time and presumably other sites as well.