It truly depends.
On it's own Facebook is very limited and you can create a Facebook App to do certain things you'd otherwise be unable to do. One thing I did is created custom bullet points, which required a custom application.
My business is not focussed so strongly around Facebook so it's not something I do frequently. I have a friend who's job is only to work with Facebook. He creates Facebook applications all the time.
Examples of Facebook Apps I have seen him create:
Competition Poll, where Facebookers answer questions and get points in a game, these questions have something to do with their product or service. The top 5 players would win something, maybe a holiday or a flight somewhere. Here is an example - http://tinyurl.com/9a5jpav
Custom Bullet Points on Pages
Email Newseller Subscription; where users can sign up to their products and services.
Custom HTML for Facebook Page(s)
I can understand games, but learning on Facebook App development is a little restrictive, as it's applications are limited, particularly for my clients.
I remember when there was a craze in adding your own HTML (I must admit I was a victim) where people added their own tabs and inserted their own HTML, Facebook then launched another update ruining the whole notion of this, as people were doing things they weren't suppose to.
Facebook's rate of change is something that is hard to compete with, as such I focus on Facebook Adverts / Campaigns and social media building, rather than concerning myself with Facebook applications.