Capturing is an ability performed by most units with engineering suites, such as the ACU, sACU and engineers. The ability captures units at the expense of energy, based on the unit's build rate. Units with a higher build time take longer to capture, making the capture of combat units from tech level one onwards time consuming and inefficient.
The most likely use of capture will be to capture the technology of another faction, which is especially handy and can give you an obvious advantage in multiplayer games with fewer players. The easiest way to do this is to capture an engineer (preferably T3) and set it to work building factories.
Another use is capturing any mass extractors, to leech the income of an enemy player income as your own. This can be easier than destroying or reclaiming the mass extractor then rebuilding it if queuing orders or low on mass.
In some single player missions you are required to capture buildings.