Say the input voltage to the voltage regulator is lost, and there's a big cap on the output. The normally reverse-biased diode conducts from output to input, so the voltage on the output is never more than 0.7V above the input voltage.
This is a good trick for a circuit that may get regulated voltage from multiple sources, like a board powered either from USB or a non-regulated wall wart through a regulator.
Most 3 terminal regulators don't like their output voltage greater than input.