This way, you can buy and install a game so it's ready to play the moment it comes out.
Pre-loading is something that PC gamers are used to at this point. Buy a game, install the whole thing and then download a small patch when it launches to unlock your content. It's a slick way to make sure that people don't have to wait for their content and servers don't get too horribly bogged down.
The new Move enabled game 'Sorcery' will be the first to utilize the new method of delivery when it launches on May 22nd. The unanswered question at the moment is whether this will allow you to play games at midnight of the launch day or if you'll have to wait for a PSN update.