Blue Coat try to categorize a URL with as few categories as possible. However, there are times when one category will not be sufficient, given the nature of a site. An example would be a blog/personal page. Such a site may simply contain random thoughts or commentary covering a range of topics, in which case a single classification would be in order.
Then there are blogs that focus on a specific theme each day, like a political blog, in which case two categories would be in order: Blogs and Political.
Another reason is to allow for creative policy rules. For example an organization may allow Business sites but not Social Networking sites. However, since we do not currently have a Professional Networking category, by tagging, e.g. LinkedIn as Business AND Social Networking an administrator can deny all the latter sites unless paired with the Business category.