"Adolf Hitler's application to art school was denied at the age of eight. One thing led to another, and the United States dropped two atomic bombs on Japan."
^ Great pamphlet, very informative ^
It can often be used to say something without actually saying it--you might say the phrase to imply that something happened which you are not going to be explicitly explain... (see the example below.)
See also; yada yada
Mostly used as a substitue to sexual descriptions, it can also serve to shorten or skip over parts of conversations. It allows the listener to fill in the blanks themselves with their imagination.
The phrase was used recently as a lyric in an Urban Hip-Hop Song; "Holidae In".
Chingy: "One thing leadin to anotha, let the party begin!"
Usually used when people are talking about how they got a guy/girl in the sack.
Cramer: We went bowling and one thing led to another and I ended up on top of her in my bed with her screaming !