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It helps to group multiple statements into a single one so that a function-like macro can actually be used as a function. Suppose you have:
#define FOO(n) foo(n);bar(n)
and you do:
void foobar(int n) {
if (n)
FOO(n);
}
then this expands to:
void foobar(int n) {
if (n)
foo(n);bar(n);
}
Notice that the second call bar(n) is not part of the if statement anymore.
Wrap both into do { } while(0), and you can also use the macro in an if statement.
Generically, do/while is good for any sort of loop construct where one must execute the loop at least once. It is possible to emulate this sort of looping through either a straight while or even a for loop, but often the result is a little less elegant. I'll admit that specific applications of this pattern are fairly rare, but they do exist. One which springs to mind is a menu-based console application:
do {
char c = read_input();
process_input(c);
} while (c != 'Q');