Thanks for the question. Since we mostly work with SQL Server 2000 and use dbo only, we have never used the REFERENCES permission so far. This might change in the future though if we move on to 2K5 or 2K8.
Unfortunately, the REFERENCES permission is not really well documented. My looks into BOL did not reveal much valuable information.
Btw, REFERENCES is also used for XML Schemas
The REFERENCE permission authorizes the principal to use the XML schema collection to type or constrain xml type columns, in tables and views and parameters. The REFERENCE permission is also required when one XML schema collection refers to another.
As well as for assemblies http://searchwindowssecurity.techtarget.com/news/article/0,289142,sid45_gci1062083,00.html
These are just two examples.