Java's anonymous classes feature is powerful, allowing you to declare and instantiate a class at the same time without giving it a name. These classes can be used to create unique, small classes that extend or implement a superclass.

In GUI programming, anonymous classes are often used to deal with callbacks and event listeners. Instead of creating separate classes, you can use anonymous classes to implement the listener interfaces and define their behavior inline.

Anonymous classes can be used with interfaces and abstract classes which have only one abstract method. These interfaces or abstract classes are sometimes called functional interfaces. These interfaces are especially useful when working with Java functional programming features, such as lambda expressions.

Anonymous classes can be a quick and convenient way to create new classes. They are usually only used for single-time implementations. For more complex code, it's best to create a named class. Anonymous classes also have a limited flexibility, as they do not contain constructors and initializers.