Chalk this one up to 'did you know?' I certainly didn't – just saw this feature while working on another post actually.
Say you have an existing solution open, and you want to open up another project. If you go to File | Open Project and select a project, the currently opened solution is closed. It is rather annoying sometime. Turns out, there is an option at the bottom of the dialog window to open the project within the existing solution. But who reads the directions anyway? I know for me at least, I tend to blur out on dialog boxes and do a little pattern matching based on what it appears to be.
I can think of a couple scenarios where this dialog setting might be useful. For instance, as I was testing different __ComObject visualizer solutions, in different solutions, I had one core project I used for testing them. While I could in fact have created each project inside of the same solution, I found it helpful at the time, for a long forgotten reason, to keep them separated.
Hope this helps