It's used to implement a generalization of assignment. If you have a special form that can tell you where something is stored, you can make macros to set it. E.g.

  > (set x '(a b c))
  (a b c)
  > (set (2 x) 'z)
  z
  > x
  (a z c)

which you can do in Common Lisp, and

  > (set ((if (coin) 1 3) x) 'y)
  y
  > x
  (y z c)

which you can't.