Chest come handy to unload the character in a "realistic" way during exploration (and skills farming sessions). You can always return to a chest to recover what you dropped inside. They allow explorers to have longer runs. Of course, outdoors you could build some by yourselves as well. Indoors, chests can make it for a secure treasure room if you don't have a base nearby or don't want to use portals (I like troll caves with two chests inside).