If part of your build process is to check in a file, such as an updated version file, you wouldn't want that checkin to kick off another build. You'd be stuck in an infinite loop.
To prevent that problem, simply put the string ***NO_CI*** in the checkin comment. The code that examines a changeset to determine whether to kick off a new build will skip any changeset with that string in the comment.
[Update 07/02/2008] If you are making a checkin as part of the build process, you can use $(NoCICheckinComment). That property is set at run time when the build agent starts msbuild. I had forgotten about it until a reader pointed this out.