Some apps, just cannot be moved to the SD in their whole form. If this would happen, your app may be too slow to run, or not run at all. The phone memory is just quicker and more convienant. If you have the retail version of Apps2sd, whenever you install an app, it should tell you if it can be moved to the sd card upon installation.
Originally Posted by tom_r_k
If you run a rooted phone, and install a custom ROM like CM6 or maybe even 7, they use apps2ext. Might free up more phone memory.