whenever do you need one ;)
bangs are good for making a theme dynamical. it's a little like javascript for html. with bangs you can change the appearance and functionality of the theme on the fly without any recycling. bangs also give you the ability to control the functions of your modules (like you could make a button which gathers all windows to a certain desktop) or even programs (winamp for example).
just download some themes and see how they use bangs and if you're making your own theme, you'll understand when to use a them :)