A couple use cases:


- posterior predictive checks: one way of doing goodness of fit checks is to sample from the posterior predictive distributions of various nodes in a model. 




- approximate Bayesian computing: for some models, likelihood-free methods like ABC are effective for approximating posterior distributions. This involves sampling from the priors of the model and comparing simulated data to the observed data. 




I've been working on this a bit this morning and think I have something that works based on RandomStreams. Stay tuned.