From a discussion with Mark Grand (author of some of the O'Reiley Java
books) at JavaOne '98: Untrusted applets would like to be able to create
(untrusted) classloaders. This would allow them to manage class unloading.
That is, an applet that needed to run a big wad of code at the beginning
of its execution could enable the GC of those classes by loading them within
a ClassLoader that it manages.

There's another reason to let untrusted applets do this: Long-running applets
could manage "in-place" software updates if they could create untrusted
classloaders.