In a lot of recipes, especially older ones passed down from family members, scalding the milk is likely a hold-over from the days before milk was pasteurized and distributed commercially. These days, if you're buying your milk from a store, scalding milk for health reasons isn't really a concern.
But there are some other reasons why you still might want to scald the milk going into a recipe!
Milk is an excellent carrier of flavors, and in many recipes, the real purpose of the milk-scalding step is to infuse it with flavor - and therefore bring the flavor into the final dish. Vanilla beans, fresh mint, lavender buds, cinnamon, and any number of other dried and fresh ingredients can be used. You'll see this technique used a lot in ice cream recipes, pastry cream, and other dessert recipes.
Scalding the milk can also help cut down on cooking time. Milk is an easy and relatively forgiving ingredient to heat, and when making a sauce or custard, it can help jump-start the cooking process. Be careful though - if you're mixing the milk into something with eggs, be sure the milk isn't so hot that it will cook the eggs.
In bread making, scalding the milk serves a more scientific purpose. The whey protein in milk can weaken gluten and prevent the dough from rising properly. Scalding the milk deactivates the protein so this doesn't happen.
Are there any other reasons you know of to scald milk?