You can use yield to build any iterator. That could be a lazily evaluated series (reading lines from a file or database, for example, without reading everything at once, which could be too much to hold in memory), or could be iterating over existing data such as a List<T>.
C# in Depth has a free chapter (6) all about iterator blocks.
I also blogged very recently about using yield for smart brute-force algorithms.
For an example of the lazy file reader:
    static IEnumerable<string> ReadLines(string path) {
        using (StreamReader reader = File.OpenText(path)) {
            string line;
            while ((line = reader.ReadLine()) != null) {
                yield return line;
            }
        }
    }
This is entirely "lazy"; nothing is read until you start enumerating, and only a single line is ever held in memory.
Note that LINQ-to-Objects makes extensive use of iterator blocks (yield). For example, the Where extension is essentially:
   static IEnumerable<T> Where<T>(this IEnumerable<T> data, Func<T, bool> predicate) {
        foreach (T item in data) {
            if (predicate(item)) yield return item;
        }
    }
And again, fully lazy - allowing you to chain together multiple operations without forcing everything to be loaded into memory.