With multiple menus (Menu Blocks) you can have different menu items in different places on your site. Usually this system is only used when you need multiple menu places on your site, for e.g. one at the top (you would call it Top Menu), one ad the bottom (Bottom Menu( and the Main Menu which would be the one you add your posts/contents.
Because the meaning of this system usually means you want to duplicate some of the menu items in an other menu block you have the option for a menu item to add a link to it, meaning you can link it to a menu from a different menu block.
Lets take an example, lets say I have the following menus on the top:
About - News - Contact - Blog
Bottom Contact -> would link to the above contact menu by entering contact in the link text entry field
Home -> would link to the about menu by entering about into the link text entry field.
With this feature you should be able to create almost any menu system needed by a site.