Chris Meyer discusses Composite Modes in Final Cut Pro at PVC, and now Premiere users can use the same ideas with Premiere CS4. As usual Chris adds related extras in sidebars on each page.
In Premiere, Modes aren't found in the Timeline but hidden inside the Opacity section of clip panel Effect Controls. For basics, there a video from Frank McMahon at Layers. There's also an AdobeTV video that explains the larger context of Premiere CS4 enhancements to Photoshop file handling.
Using Modes can help you make a quick & dirty color correction by playing with different modes and opacity of a duplicate on top of the original clip, or help you add a filmic glow by adding a blur to the mix on the top dupe. Learning in other apps can now be leveraged with synergy in Premiere; there's also a blending mode reference and a gallery in After Effects Help, and a video on blend modes in Photoshop is on Adobe Video Workshop.
Update: see the later CMG post, FCP Overlay Issue, since it seems there is a bug in the way Final Cut Pro handles the Overlay composite mode.