Suppose that we have a series of games each of which allows the player to select a puzzle difficulty level. When the player plays a new game in the series, we want him to start out by default with the same difficulty level he faced earlier on, so we store this information in a small preferences file, as follows:
Our preference file is restricted to a single option here for simplicity's sake, but we could keep track of more information -- whether the player preferred verbose or brief room descriptions, screen configurations, and so on.
If we were disposed to be somewhat crueler, we could use a similar method to make the player finish each episode of the series in order to "unlock" the next. All we would need to do is store a numerical password in our preferences file when the player finished a given level; the next level would check, say, the Table of Completed Levels for that password, and refuse to play unless the right number were present.