Why we use IIF in VB.NET?

Well. IIF is compatibility from VB6
better use IF instead, its more powerful, better, etc.

Why I use it? it makes code shorter
Example

Dim this As Boolean = False
Console.WriteLine(If(this, "Yes", "No"))

I'd say: do not use Iif[^] function, which returns one of two objects, depending on the evaluation of an expression. Why? There is much, much better programming practice to use lambda expressions:

Dim boolVal as Boolean = False

Dim result = Function(x As Boolean) As String
             Dim sRetVal as String = "yes"
                Select Case x
                    Case true
                        sRetVal = "yes"
                    Case False
                        sRetVal = "no"
                End Select
                Return sRetVal
                End Function

Console.WriteLine("The result is: {0}", result(boolval))

Above example is very simple. You may say that it's much easier to use iif or even if function (as is mentioned in answers to this question). It's true, but using lambda expressions is more flexible, because provides a way to create custom function that verifies condition and returns result as you define it.

For further information, please see: How to: Create a Lambda Expression (Visual Basic)[^]

By The Way, C# is more powerfull! Above Vb.Net code we can write as:

string result = boolVal==true ? "yes" : "no";
Console.WriteLine("The result is: {0}, result);

Cheers,
Maciej