I needed to use a physical mailing address to set up an email list. I didn't want to use my home address, so I set up a PO Box. I'd say when you are big enough to want to start an email list, it's a good time to get a PO box.
However, I recently received an email from someone saying they sent me a card, but it never actually came.... :S So... PO boxes create an extra thing that needs to be tracked.... x_x