Usually just to `set ft=zsh' to set a filetype on a file with no (or incorrect) file extensions. Which syntax highlighting and other plugins rely on to activate.
For example, I use them on a TODO.md file to set it as a `task` filetype which is a markdown-friendly todo list: https://github.com/irrationalistic/vim-tasks whereas in Github I want it to render as markdown only so I keep the file extension `.md`.
Another usecase is system/software user config files which have all sorts of file extensions (ie, `.rc` or '.conf') but use a variety of internal formatting (ie, json). These files never leave your personal machines or arrive that way, in my experience at least.
I'd imagine they'd also stick out like a sore-thumb at the bottom of most files if they were maliciously inserted but I'm sure there's some exceptions (targets who don't know what Vim modelines are).