By far the most common example I point people to a File Handler.
This lets you store your files in a safe location and serve them up through a controlled environment.
Why would you want to do this? Well you might want to only allow the file owner or an authenticated user to get access.
In order to prevent name clashes with the files stored on the server you might need to rename such as adding a guid to give them a unique name. The file handler would let you serve up the file as if it had the original, clean name.
Now that I have gone on about file handlers for long enough I should show you my link that I roll out in situations like these:
http://blogs.msdn.com/petel/archive/2005/12/01/499189.aspx
This is just one use for an ashx. You can serve any combination of html, images, binary that you require.
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