They can do it for many reasons. The can like Mike said do it to run down the clock and time waste, which is usually used when the team are already winning. Also it might be a player who has not had much first team action or is a young prospect and he is giving him a little bit of experience and a taste of what it is all like.
They are also used because when the team is tired and the other teams defence is tired then bringing fresh legs on will make a big impact on the game. They also may take him off to prevent injury or something.
But seems you was watching Liverpool, and it was Benitez, it was probably for a total ridiculous reason. -lol-
Yeah, its like if you are going to lose anyway why keep your good players out there? Put in some rookies or somthing so they get practice and your importaint player don't get hurt.
Sometimes it's to stop the player getting sent off (and getting a ban!) or injured, if we'd subbed Lee Hughes off 5 mins before the end, he'd be able to play on Tuesday, as he wouldnt have got sent off and banned! -redface-