The original reason I was experimenting this was trying to use WordPress as a magazine CMS. On the front page, I wanted to pull one, latest article from each category and display it on the index.
Which sounds like it should be an inbuilt thing - pull the latest from each category and display it. It is - it's just it requires more than one loop. Posts in WordPress, for those of you used to other blogging systems, are requested by a query and looped through. More than one set of criteria for choosing a post on a page == more than one loop necessary.
So, if you wanted your blog to be "every post I've made in every category" you'd have a normal loop, but to also show your most recent photo (something you'd categorised as a photo) in a sidebar, you'll need a second loop. It's just getting into the mindset: you ask for posts with a criteria, you loop through the result - and you'll need several requests for several criteria.
Why not a plugin? Exactly what ifelse says. This is *not* rocket science, and it's something that requires a great deal of flexibility. I can think of writing a plugin to do this, but it'd be awfully inefficient. This is the cleanest, simplest most efficient way of doing it, and, as ifelse points out, it's not something that needs a plugin - all that functionality is there waiting for you. And, of course, it's less likely to break than a plugin when the next version's released.