You're probably saying: "I could have developed this in PHP in half the time it took me to download the java run time!", which is probably true :). But we haven't touched on JMeter's more advanced features like the "HTTP Cookie Manager", which when added to your Thread Group, turns on Cookie support automatically! This allows us make complete test suites for applications that use expiring cookies for authentication. Or you could make a complete test - from login to checkout - for your new shopping cart application, without having to provide the POST and GET variables for every page. Let the cookie manager do the hard work!
But not all applications have cookies for persistent data. So the last element I want to touch on is the "HTTP URL Re-writing Modifier". This one is useful for applications that pass data (such as the $PHPSESSID) around in the URL. Add the re-writer on the same level as a group of Samplers that need a URL-passed variable between them, and the re-writer will automatically pass the value around for you!
I've barely scratched the surface of the possibilities that JMeter has for application testing (there is also a command line version for automated testing!), but I hope that I've sparked some interest in this great tool. If your looking for more on how to use the many modules I haven't mentioned, check out the great project documentation and the project Wiki. If you're feeling intrepid, you might even want to add something to the Wiki to help others out. After all, that's what this community is all about, right?