<p>I assumed that the C# margin property had a meaning like in CSS - the spacing around the outside of the control. But Margin values seem to be ignored to matter what values I enter.</p>

<p>Then I read on the SDK: </p>

<blockquote>
  <p>Setting the Margin property on a
  docked control has no effect on the
  distance of the control from the the
  edges of its container.</p>
</blockquote>

<p>Given that I'm placing controls on forms, and perhaps docking them, what does the Margin property get me?</p>

The margin property is used by whatever layout engine your control host (Panel, for example) is using, in whatever way that layout engine sees fit.   However, it is best used for spacing just as you assume.   Just read the documentation for that specific layout engine.
It can be very handy when using a FlowLayoutPanel or TableLayoutPanel, for example - to either reduce the default padding or space things out a bit.   Obviously, if you write a  custom layout provider, you can use Margin however you see fit.