Recursiveness can't always be handled with a loop, at least not as easily. The difference is that in each fucntion call you are, in fact, providing a new context, so recursive functions are a neat way to handle complexity. Going recursively through folders is such a situation...
I use them pretty extensively in JavaScript but don't think I've ever had need to use them in ASP. Now I know they're possible, though, I'm sure I'll find some use for them!
Search is your friend “I was having a mildly paranoid day, mostly due to the fact that the mad priest lady from over the river had taken to nailing weasels to my front door again.”
I use recursive functions all the time in .net and most other languages for that matter, they are generally the best way to accomplish complex iterative processes especially when the structures are tree like in nature