There are a lot of applications when someone would like to import a private key. However in wiki documentation they say it is very dangerous: https://en.bitcoin.it/wiki/How_to_import_private_keys
WARNING Before reading this page, users should note that messing with ECDSA private keys is very dangerous and can result in losing bitcoins, even long after the import. It is recommended that outside of self-generated vanity addresses, users should never import (or export) private keys.
Note that importing a key to bitcoind and/or Bitcoin-Qt may be dangerous and is not recommended unless you understand the full details of how it works.
Why is it that dangerous and what are the alternatives if you are using cold storage, a paper wallet or generating vanity addresses?
Related: Why so many warnings about importing private keys? (but it is about warnings on blockchain.info and not bitcoind). I'm not sure if the warnings are due to the same reason.