There are 2 things I use the Scroll Lock key, switch between PCs using my Belkin KVM Switch box, this allows me to use up to 8 PCs with one monitor, keyboard & mouse by hitting Scroll Lock twice followed by the up or down cursor key. Also when using Excel spreadsheets, turning scroll lock on means the cursor keys move you around the sheet without moving the cursor, handy for seeing the cells a formula applies to without moving focus away from the cell. THe scroll wheel has made this feature largely redundant, especially now some Micro$oft mice now have a tilt function for sideways scrolling.
btw While were on the subject, PrtScr copies the desktop to the clipboard. and Alt+PrtScr copies the active window to the clipboard, fantastic for screen shots when you're making software tutorials.