Can be done, for example, if you do not quite know somebody well enough to friend them, but think you will in the future. At least, that's why GUYS do it.
Note that this is not quite the same as Facebook limbo; purgatory is temporary (the person might be cool) and limbo is permanent (and thereby reserved for asshats, douchebags, and so forth). Also, it does not count if the recipient of the friends request only checks Facebook once a month or so, since it was not intentional.
Sheila's in facebook purgatory because I don't want to piss her off until after she gives me the $20 she owes me.