Thread affinity makes it possible to give the scheduler hints about which threads could benefit from sharing the same CPU caches. In other words, this is a request to the scheduler that some threads should be executed on a particular core if possible, to minimize cache misses.
Why would you want one thread to be executed on a particular core? The answer is (again) caching. Threads that operate on the same memory could benefit from running on the same core, and hence take advantage of warm caches. For the scheduler, this is just one of many parameters to take into account when assigning a thread to a core, so this is hardly any guarantee, but again the behavior is very different among operating systems. Thread priorities, and ...
