If you find a song in one of your iTunes playlists that you no longer want, you usually have to go all the way back to the "Music" view and find it in order to delete it. This keyboard shortcut saves you the hassle, deleting the item without leaving the playlist view.
Ordinarily, pressing the delete key while in a playlist will only prompt you to remove the song from that playlist. If you want to remove it from your library entirely, just press Shift+Delete (on Windows) or Option+Delete (on Mac), and you'll get the prompt to remove the song from your library entirely. Pretty handy for us playlist junkies. Thanks dathbe!