[pcwalton]

Typically you use this feature to associate state with an object in your render graph. For example, all of the render state used to render the sky, including shader program, vertex buffers, textures, blend state, etc. can be attached to the sky node in your scene graph. Then you can (basically) have a generic "draw an object in your scene graph" function that just performs the appropriate drawcall with the right state. The performance advantage of this is that the driver can do all the validation once, when you construct the sky object, instead of every frame.