The discussion about security actually brings up another great use for Query Analyzer that wasn't specifically mentioned in the article but was certainly demonstrated. QA is very helpful when trying to diagnose connection and security issues. It is a pretty lightweight client so it loads quickly and the login options allow the user to log in under a sql account that an application might be using in order to test the queries under the same credentials without a lot of application overhead.
In relation to the RunAs command, you can also access this Windows 2000/XP feature by right-clicking on an icon in the Start Menu, on the desktop, or in a toolbar on the task bar and selecting the "Run as..." option from the context menu. When you do it this way, you get a login dialog like the one shown below.