Sometimes there’s a need to embed some little bit of binary data in the executable. The reasons may vary – perhaps it is for a resource you want to exist even if data files are missing, or it could be even something you want to “hide” from some curious wannabe-hackers.
In the past years my typical use case was as follows. I used to make “64 KB intros” (such as this one), and for those I needed to embed a few data files to the executable as object data, so that I could exploit compression of the executable packer without writing a proper compression tool myself (such as UPX).