It's just general usage testing. The device performs in an entirely different environment than your computer, and it's the best way to make sure if you push your app out to devices, that nothing unexpected will happen. For example, the phone/pad may have limited data coverage, low memory situations, incoming calls etc.. These situations are a lot more common on devices, then when people emulate it though the simulator.
On a hardware point of view, the device uses a different processor architecture than your Mac, which also needs to be accounted for (not as much as other cases, but you need to cover your bases). The Mac also cannot reliably emulate RAM, Disc Space, Processor Speed etc...hence testing on the device is useful here also.
Obviously there are some features you can only test on devices, such as Camera, GPS (and not so obviously iPod library usage), and if your app uses them it'd be careless not to test on a device.
Overall if you're intending to release your application to the App Store, or to devices at least, it's worth testing on the device itself. Only then can you be sure that it will act and perform as expected on the platform you intend to target. The simulator is only a simulator after all, not the real thing!