A recursive function is one which calls itself. The most common reason I've found to use it is traversing a tree structure. For example, if I have a TreeView with checkboxes (think installation of a new program, "choose features to install" page), I might want a "check all" button which would be something like this (pseudocode):
function cmdCheckAllClick {
checkRecursively(TreeView1.RootNode);
}
function checkRecursively(Node n) {
n.Checked = True;
foreach ( n.Children as child ) {
checkRecursively(child);
}
}
So you can see that the checkRecursively first checks the node which it is passed, then calls itself for each of that node's children.
You do need to be a bit careful with recursion. If you get into an infinite recursive loop, you will get a Stack Overflow exception :)
I can't think of a reason why people shouldn't use it, when appropriate. It is useful in some circumstances, and not in others.
I think that because it's an interesting technique, some coders perhaps end up using it more often than they should, without real justification. This has given recursion a bad name in some circles.