Suppose you've just started a program outside screen. Suddenly you realize you wanted to do something else in that terminal. Ctrl+Z.
Screen and tmux introduce a layer of isolation between the application and the terminal. This isn't always a good thing. For example, I find their scrollback a lot less convenient than xterm's, so I rarely use screen unless I intend to (be able to) connect to that session remotely.
If you've set up environment variables, a current directory and other parameters in a shell (which may be in a screen window), carrying those settings over to a new screen window can be a lot of work. It's convenient to be able to run several programs in that terminal.
Sometimes you want to run a program in the background and have nothing to to with it any more: nohup program & disown %-.
If you have a GUI application that occasionally misbehaves, it can be convenient to start it from a terminal and fg; Ctrl+C or kill %1 it if needed.
Screen and tmux may not be installed.
Screenis kind of the stand by in the game buttmuxwould be the one to learn if you are just getting started. – Caleb May 26 '11 at 20:16