I mentioned this in passing in my description of the format of double-null-terminated strings, but I think it deserves calling out.
Double-null-terminated strings may be difficult to create and modify, but they are very easy to serialize: You just write out the bytes as a blob. This property is very convenient when you have to copy around the list of strings: Transferring the strings is a simply memory of transferring the memory block as-is. No conversion is necessary. This makes it easy to do things like wrap the memory inside another container that supports only flat blobs of memory.
As it turns out, a flat blob of memory is convenient in many ways. You can copy it around with memcpy. (This is important when doing capturing values across security boundaries.) You can save it to a file or into the registry as-is. It marshals very easily. It becomes possible to store it in an IDataObject. It can be freed with a single call. And in the cases where you can't allocate any memory at all (e.g., you're filling a buffer provided by the caller), it's one of the few options available. This is also why self-relative security descriptors are so popular in Windows: Unlike absolute security descriptors, self-relative security descriptors can be passed around as binary blobs, which makes them easy to marshal, especially if you need to pass one from kernel mode to user mode.
Read more: The old new thing