It lets you do a "black box" analysis on any effect plugin by running a signal through it and graphing the output. Many of the tests could be performed without it, e.g. running a sine through a plugin and checking for harmonics with SPAN. This is what I did before I discovered VST Analyzer, and it's what I do now. The analyzer makes it very convenient. It also performs a couple tests that are difficult or time-consuming to set up in your DAW, such as phase analysis.
For example, say you've got some magical effect such as Voice of God, MaagEQ, Clariphonic or BBE, and you want to expose its mojo. VST Analyzer will let you see what such plugins are really doing. It can expose weaknesses such as phase and harmonic distortion, aliasing and frequency non-linearities. It can reassure you that the effects you're using were good purchases, or it can make you smack your head and wonder why you ever got advice from KVR in the first place.