Several languages, such as Python, have the concept of a Tuple built into the lanugage. One of things it's used for in Python is multiple return values. So you can call "return x,y" to return two values. Of course, C# can only return one. If you need to return more values, you have to define out parameters.
LINQ / C# 3.0 / VB 9 support the idea of anonymous types, which is similar to a tuple. The big difference is that, because they're anonymous, they can't leave the scope they're defined in. In other words, they're great within a function, but if you want to pass them out of your function type-safely, you have to define a non-anonymous type for them.
Interestingly enough, F# supports tuples, though it a bit of a hack. Since the CLR doesn't support tuples, F# basically defines different Tuple classes for up to seven tuple parameters (i.e. Tuple<t1,t2,t3,t4,t5,t6,t7>), For .NET 1.x, it's even worse - they have to define different type names (Tuple2, Tuple3, etc). Ugh.
Update - Robert Pickering pointed out that F#'s tuple implementation is entirely transparent inside of F#. He's right - I was writing from the perspective of a C# developer using F#'s implementation of tuples. Maybe I need to be looking closer at F#?