Added: To add some specific examples. On is the proof that a regular local ring is a UFD (let us assume that it contains a copy of its residue field to simplify). This one shows by first showing that the ring is UFD it its completion is. For the completion which then is a power series ring over the residue field one can use the Weierstrass preparation theorem to show that one can reduce to the polynomial ring in the last variable over the power series ring in all but the last. This is a UFD by induction and the fact that the polynomial ring over a UFD is a UFD ("Gauss lemma"). Here the Henselisation does not appear at all.
Another (far more sophisticated) example is the one which I guess was one of Artin's motivation for the approximation theorem to begin with. Here one wants to show that some functor is representable by an algebraic space. This means constructing a universal element over some suitable base. The first step is to use deformation theory to show that the functor (for a fixed point over some field) is prorepresentable. This is done exactly by showing that it is representable over the category of local Artinian rings for which a fixed power of the maximal ideal is zero. This is done by induction over the fixed power (and hence can be said to do a Taylor expansion one going from one order to the next). The end result (if everything works!) is a formal deformation over some complete local ring. Then one uses further properties of the functor to show that this formal deformation is given by an actual element of the functor (this typically uses Grothendieck's GAGA-type results for formal schemes). Then one uses the approximation theorem to show that the element comes from the Henselisation of something of finite type (there is an extra trickyness in that the complete ring is not known beforehand to descend as some such Henselisation). One then stops there and uses the universality to get gluing data for an algebraic space.
Note that there are situations when this doesn't work. A particular class of examples arise when one is dealing with differential equations: There are differential equations (with coefficients in the local ring of a smooth variety) which has no solution in the Henselisation but does have a solution in germs of analytic functions and there are differential equations that have formal power series solutions but no convergent ones.