I'll have a go at explaining.
First, there are 2 ways to create containers. The first is directly on the timeline. In this method, you set the mark-in and mark-out to encompass what you want in the container, and activate (or deactivate) the tracks so that the active tracks are what you want in the container. Then you select the Build Container command.
The second method is just to drag any sequence from the rack into the current timeline. The entire sequence comes in as a container.
I prefer the second method. The first method has the limitation that if you have subtracks or matte tracks, you can't include those in a container. But they work fine when in a sequence within a sequence.
Containers work a virtual clips. By default, they have no leeway. When building containers, if you plan on using transitions between a container and another clip (or container), make sure that the material in the container has sufficient space at either end for the necessary leeway.
Using containers also offers the ability to use an absolute keyframe in an effect. For example, let's say you have a filter on a clip that goes from 0% transparent to 100% transparent. Now you want to shorten the clip so that the frame at the 75% mark is the last frame. When you pull in the handle for the clip, no matter where you pull it the last frame will be 100% transparent. That's because the placement of the keyframes is relative to the length of the clip, and not at a specific timecode.
If you place the clip in a container, and then shorten the container to the 75% frame, it does not cause the keyframes within the clip in the container to be recomputed. So you have what you want, the last frame of the container is at 75% transparency.
If you are planning on using complex effects on a clip (or clips), containers let you manipulate the entire effect as a single clip. In the example given by DGVideo, I'd have used a separate container for each clip with it's effects, and then added the containers into the final master sequence. This is a workflow I use all the time with color corrected material.