a little example:

somewhere in program:
...
SETB EX0     ; enable external interrupt 0
SETB EA
MOV PCON,#1  ; power-down mode: wait till external event
....

Here in example, software goes sleep untill external interrupt comes. If somehow MCU jumps on MOV PCON,#1 with no INT0 enabled then program hangs up. With WDT which works even in power-down mode, program just will be reseted after WDT timeout.