In general, its function is to clear the selection, much like pressing Delete or Forward Delete, but unlike with the Delete keys, it will not do anything without something already selected. Luckily, in the Finder, it selects the last item alphabetically, rather than "clearing" selected files and folders, which could be bad.
It functions as a normal Num Lock key when running Windows or Linux on a Mac, either through a VM or natively. This can be frustrating though, because even old Apple USB keyboards that have "Num Lock" printed as "alt" text on the Clear key don't have an indicator light for that key (though older ADB keyboards did).
A long time ago, in a Mac OS far far away, I recall occasionally coming across Mac apps that used the Clear key as a regular Num Lock key, including a very old version of Excel. I don't recall seeing any Mac apps use it in this way in recent history, perhaps not since the release of OS X (or the obsolescence of the ADB keyboards).