The idea is that you can download additional trailers, special features and so on. But of course that depends on the disc supporting them and the content provider making them available online.
Saw a demonstration in Japan some years back suggesting BD Live could be used to provide online shopping, concert and theatre bookings and the like associated with the movie you're watching, but so far not much has materialised beyond the fact that you get up to date trailers should you want to watch them, rather than the ones permanently on the disc.
Oh, and sat through a Disney Japan presentation a year or so back where they were talking about social networking, so you could, for example, chat in real time with other people who happened to be watching the same movie. So far, thankfully I think, AFAIK that hasn't come to pass either...