One big use-case: your xml includes a program, as data (e.g. a web-page tutorial for Java). In that situation your data includes a big chunk of characters that include '&' and '<' but those characters aren't meant to be xml.
Compare:
while (x < len && !done) {
print( "Still working, 'zzz'." );
++x;
}
with
while (x < len && !done) {
print( "Still working, 'zzzz'." );
++x;
}
]]>
Especially if you are copy/pasting this code from a file (or including it, in a pre-processor), it's nice to just have the characters you want in your xml file, w/o confusing them with XML tags/attributes. As @paary mentioned, other common uses include when you're embedding URLs that contain ampersands. Finally, even if the data only contains a few special characters but the data is very very long (the text of a chapter, say), it's nice to not have to be en/de-coding those few entities as you edit your xml file.