Why do we use finally blocks?

Finally always gets executed, where as your code after the catch may not.

Note that (in Java at least, probably also in C#) it's also possible to have a try block without a catch, but with a finally. When an exception happens in the try block, the code in the finally block is run before the exception is thrown higher up:

InputStream in = new FileInputStream("somefile.xyz");
try {
    somethingThatMightThrowAnException();
}
finally {
    // cleanup here
    in.close();
}

• What happens if an exception you're not handling gets thrown? (I hope you're not catching Throwable...)
• What happens if you return from inside the try block?
• What happens if the catch block throws an exception?

A finally block makes sure that however you exit that block (modulo a few ways of aborting the whole process explicitly), it will get executed. That's important for deterministic cleanup of resources.

You may want to put the code that you want to anyway get executed irrespective of what happens in your try or catch block.

Also if you are using multiple catch and if you want to put some code which is common for all the catch blocks this would be a place to put- but you cannot be sure that the entire code in try has been executed.

For example:

conn c1 = new connection();
try {
    c1.dosomething();
} catch (ExceptionA exa) {
    handleexA();
    //c1.close();
} catch (ExceptionB exb) {
    handleexB();
    //c1.close();
} finally {
    c1.close();
}