Pressing Shift + Enter in Word tells word to go down a line, but this doesn’t create the gap between two lines like Enter does because Shift + Enter doesn’t indicate a new paragraph.

According to Microsoft, this is also very useful when creating a bulleted or numbered list. Pressing Shift-Enter allows you to go to the next line without creating a new bullet or number.

You can find a picture showing the difference between the two uses. seethis page for detailed infromation.

But I found this is also useful when you are generating contents when you are formatting your thesis.