The standard answer is that it's useful when you only need to write a few lines of code ...
I have both languages integrated inside of Eclipse. Because Eclipse handles the compiling, interpreting, running etc. both "run" exactly the same.
The Eclipse IDE for both is similar - instant "compilation", intellisense etc. Both allow the use of the Debug perspective.
If I want to test a few lines of Java, I don't have to create a whole new Java project - I just use the Scrapbook feature inside Eclipse which which allows me to "execute Java expressions without having to create a new Java program. This is a neat way to quickly test an existing class or evaluate a code snippet".
Jython allows the use of the Java libraries - but then so (by definition) does Java!
So what other benefits does Jython offer?