Baking is mostly for real time, to mimic advanced lighting effects that the engine can't afford to calc. on the fly. It's all precalc. and exported right along with the uvs and texturing.
I use baked radiosity and .hdr lighting/environment effects rather often for real time walk-throughs.

Baking is undesireable for rendering, you actually have to take steps to remove 'baked' specularity, shadows, etc. from photographic textures.
It's why photos for textures are best taken on a cloudy overcast day, so there isn't much 'baked' lighting in the texture. The simulated lighting might not align with the 'baked' spec. and such, and then it would look wierd (think of shadows going the wrong direction, highlights on the wrong side of bump,...)

Another thing that is sometimes meant by 'baking' a texture is rendering a procedural texture (that you already know isn't going to export with an .obj file) onto a flat plane then using the pre-rendered proc. texture as an image texture in another program.
I do that a lot also, with the Bryce DTE, then paint onto the 'base' texture w/ photoshop, of just use it as is w/ some custom shaders. You could do that w/ any program. You could really almost say that any texture generator program is 'baking' textures (but maybe not lighting effects).
You could actually bake lighting from Vue, Bryce, Carrara, anything really, for use later in a real time engine. Max, and I guess Teyon says XSI and some others, just semi-automate the process for you, so there isn't a lot of 'leg work' to do manually.

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