Double curtain rods mean that you can hang both drapes and a coordinated valance without having to construct a separate wooden valance frame. Hang drapes on the inner rod, that is, closer to the window, and thread the valance onto the outer rod.
Retaining the Victorian distinction between drapes (heavy and often opaque) and curtains, (light and more sheer), consider hanging double rods with curtains. A valance on the outer rod can be made of more formal, drape-quality fabric to coordinate window decor with the rest of the room. Alternatively, the valance can be light and sheer, draped or looped over the outer rod, framing the window without adding any heaviness.
Hanging the inner rod of a double curtain rod with sheer curtains and the outer rod with more formal drapes can bring the best of two ideas to a room. Drapes can be opened and/or tied back during the day, framing the window and coordinating with the room's decor. Sheers remain closed, letting light in without glare and protecting the room from public view. At night, drapes are closed, making the room both private and draft-free.
For those wishing even more formal or elaborate window treatments, a triple rod system lets curtains, drapes and a valance for the drapes hang separately. For those dealing with window-walls or large picture windows, double rods can be found in traverse form, so that drapes and curtains can be opened and closed without pulling by hand. Being able to use a side-pull cable is particularly helpful if curtains, drapes or both are of delicate fabric or if the window treatment is especially wide.