Francisco,

I haven't seen may good cases, but a few interesting ones were check constraints on tables. Trying to be sure that an IP address was valid, or that a phone number conformed to a valid format (either hyphens or dots), etc. These types of string manipulations are very complex in T-SQL and trivial in C# or VB.NET. I also suspect that some financial or complex Analysis services rollups will be much easier in a CLR languange than T-SQL or MDX.