It really just lets you go into directories that are not available on a webpage for uploading and downloading, and is also the main way that you would upload pages to a site. Most directories require permissions and passwords, so unless you're a hacker, you won't have access to anywhere you shouldn't!
Using a p2p client is more likely to involve something illegal.
As above, I use SmartFTP to upload stuff to my webspace. It's just another way of connecting to t'internet.