Buring torches, ancient lightbulbs and heat givers, the torch is not something you see very often in the modern world. But if you're a vampire, live underground and have no electricity, the torch is the way to go.
However, they did not really think it through as vampires are very flammable. (myth?)

How to use:
When Buffy used it in 'When She was Bad' she simulataneously staked one vampire and burnt the other to cinders. As vampires are supposedly flammable it's a good thing to use on them.
Some myths state that werewolves are afraid of fire also.

Other uses for a Burning Torch:
Create that retro-look (a la 'Changing Rooms') in your own home.
Great for power cuts.
Buy an old castle and use many torches to light it.
Learn to juggle fire like the jugglers in Covent Garden (in London)