Many radios will have buttons labeled "VFO1" and "VFO2", suggesting there are two oscillators when actually there is only 1. The buttons simply store a frequency in memory which is restored at the appropriate time, not unlike the "recall" button on a TV remote. In the past, this would have actually required two oscillators since they were not digitally controlled and also not so stable.
Largely, it's a convenience. For example, you may be having a QSO when someone else starts using your frequency. By switching to the other VFO you can tune around to find a free frequency, then switch back to propose the new frequency.
Or you may use it as sort of a "memory". Perhaps you often operate FT8 and CW: one VFO can be left on the FT8 frequency, and the other in the CW portion of the band, and the buttons provide a quick means of switching between the two.
Radios that actually have two VFOs are capable of operating on two frequencies simultaneously.
Some can operate as a cross-band repeater. This may allow the operator to have a mobile station on a higher frequency which can remotely access the greater HF capabilities of the base station.
Two VFOs also allows the simultaneous monitoring of two frequencies without scanning between them. While this isn't such a common use case as it is on VHF/UHF, it does exist: there are repeaters on 10 meters in some places, and 6 meters although not technically HF is part of many HF radios, and there can be repeaters there, too.