I have a few pieces of software that only run on Windows, for instance a word plug in that allows me to draw 3D maths diagrams, and so I run Windows 7 using VM Fusion. It was also quite comforting when I first started using a mac (or when I went over to the dark side according to friends). A couple of years later and I rarely use my Windows virtual machine but it is there if I need it.
This is a perfect answer for why I ran Windows (through VM Fusion) as well. I switched to a Mac and no longer had a PC and I was kind of nervous about it. Like Jack, I treated the VM like a safety blanket. I figured, if I really don't like OS X I could just boot directly into Windows.
It turns out I didn't really need it, but I was glad to have it when there was a web app I had to use for work that only supported Internet Explorer. I really hated having to load a whole OS just to use an out-dated and bad web browser.
I still have my XP VM, but thankfully no longer have a need for it or the reassurance it brought me as a new switcher.
I also have an extra monitor plugged in that I don't ever turn on. Just not used to it. I bet if I had an Apple Thunderbolt Display I would, though!