When you are connected to a server and wish to log out, a hangup (SIGHUP) signal is sent to all the processes you have run. Using nohup to run a program causes this signal to be ignored.
For example, you might want to download some files with wget, and be able to log out and have these files still download for you. One could use
nohup wget --quiet http://www.example.com/some_large_file &
to have wget download these files in the background, and continue to do so even after you log out. The quiet flag is set because while wget is in the background, the job will suspend if it creates any output to the terminal.
The use of nohup is not restricted to remote logins, however, one can use it for example in X, with an xterm open, one can nohup a process and have it run even if the xterm is closed.
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