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For example, you might test your site offline on your Windows PC, and it works fine. You then upload to a Unix host and suddenly discover a couple of broken links. You're mystified, because all the files are there. It can take you ages to discover, for example, that you didn't take your finger off the Shift key fast enough, and a link that should be pointing to File.html is, instead, pointing to FIle.html.
Or you might have a site on a Unix host and have a file.html and a File.html -- you then move to an NT server, and suddenly one of those files disappears.
You can minimize the risk of that happening simply by being consistent and using lower case throughout when naming files.