This allows us to realize the fact that something that we see and hear is happening together, for instance seeing a light flash while there is a beep. Our brain will connect these two events and therefore allow us to perceive them as happening together. For an example of this you can look at a badly dubbed movie, your brain doesn't register the movement of the lips with the audio and therefore you realize it doesn't bind together. Take a look at the video to get a clearer idea about what I'm talking about. You can skip ahead about 2 and a half minutes to get to the better stuff.
One of the more interesting things that I have come across is the idea of using a mirror to "create" the sensation of having a third arm. By using a mirror to reflect an arm while having one arm hidden and then touching each of your fingers to your thumb for a minute or two you will end up feeling like you have three arms. Now I personally haven't witnessed this but I have heard that you can use this same technique to help alleviate some phantom limb pains. One of my professors once told us that there was a patient who had his hand amputated, but after the amputation his missing limb would start to cramp, and so to alleviate this he had to use a mirror and ball up his remaining hand into a tight fist and slowly release it. After a few repetitions of this the phantom pain subsided because the brain was tricked into thinking that the limb wasn't cramping anymore and was instead opening up.
How freaking cool is this!?