This is useful in situations where you're looking for a bit more control over the conversation hosted on your blog. Additionally, comment moderation will prevent unwanted comment spam if previous deterrants like word verification and rel="nofollow" have proven insufficient.
You can choose to moderate your comments via either email or from blogger.com. To enable the feature go to the Settings | Comment tab of your blog. As always, more information on how to use this feature can be in the help.