Many applications require your Mac and your iPhone to be on the same wireless network in order to communicate properly or sync. Apple doesn't advertise the ability to use such applications without a wireless router... nor do many developers. It's not only possible, it works great in a pinch or even as a standard. A few quick examples:
- Be a makeshift DJ. I have a lot of music on in my iTunes Library. If there's something I or my friends want, I'll buy it and add it to the collection. Because of that, I get asked "Can you bring your music to the party tonight." I used to say no, because I didn't want to play DJ all night and miss out on the party. Now, I can setup a network anywhere I go and control my iTunes Library directly from my iPhone with Remote.app -- even play requests during a conversation.
- Keynote presenters unite! Creating a wireless network on your Mac frees you to worry about your presentation not the availability of wireless in the lecture room. Setup a network, connect and you're swiping through your slides.
- Sync applications anywhere, anytime. Victor just pointed this out today... if you're in an airport and need to sync some information from a desktop app to your iPhone, you don't need to pay for the airport wireless. Syncing apps like Bento, MacGourmet, Things, TextExpander or any other apps that sync over the network can update whenever you want without issues.