Some characters (Cid, Nanaki) do more damage with their Ultimate Weapons when they've got more MP, so the HP<->MP materia allows you to accomplish this easily. Even a low-levelled Cid could deal a real bruisin' if you turned his 3000 HP into MP when he's carrying the Venus Gospel...

Other than that, I guess that gaining Limit Breaks is the best use for this particular materia - unless you want to customise your characters into specific 'job classes', in which case you can use it to make an old-style Mage, with plenty of magic power but limited HP.