Tag interfaces are used in Java (Serializable being the obvious example). C# and even Java seem to be moving away from this though in favor of attributes, which can accomplish the same thing but also do much more.
I still think there's a place for them in other languages that don't have the attribute concept that .NET and Java have.
ETA:
You would typically use this when you have an interface that implies an implementation, but you don't want the class that implements the interface to actually have to provide that implementation.
Some real world examples:
Serializable is a good example - it implies that there is an implementation (somewhere) that can serialize the object data, but since a generic implementation for that is available, there is no need to actually have the object implement that functionality itself.
Another example might be a web page caching system. Say you have a "Page" object and a "RequestHandler" object. The RequestHandler takes a request for a page, locates/creates the corresponding Page object, calls a Render() method on the Page object, and sends the results to the browser.
Now, say you wanted to implement caching for rendered pages. But the hitch is that some pages are dynamic, so they can't be cached. One way to implement this would be to have the cacheable Page objects implement an ICacheable "tag" interface (Or vice-versa, you could have an INotCacheable interface). The RequestHandler would then check if the Page implemented ICacheable, and if it did, it would cache the results after calling Render() and serve up those cached results on subsequent requests for that page.