As a stack-based language, it's always useful to capture the current state of the stack. The OP_Depth op is used specifically to provide a count of all the items in the stack (without removing / popping any item) & pushing that count value (in hex) onto the stack. While not used in any of the common scripts, op_depth could be useful in a multsig scenario where a count is needed to check the number of m-of-n signatures.