The gamma has a property shared by the lognormal; namely that when the shape parameter is held constant while the scale parameter is varied (as is usually done when using either for models), the variance is proportional to mean-squared (constant coefficient of variation).
Something approximate to this occurs fairly often with financial data, or indeed, with many other kinds of data.
As a result it's often suitable for data that are continuous, positive, right-skew and where variance is near-constant on the log-scale, though there are a number of other well-known (and often fairly readily available) choices with those properties.
Further, it's common to fit a log-link with the gamma GLM (it's relatively more rare to use the natural link). What makes it slightly different from fitting a normal linear model to the logs of the data is that on the log scale the gamma is left skew to varying degrees while the normal (the log of a lognormal) is symmetric. This makes it (the gamma) useful in a variety of situations.
I've seen practical uses for gamma GLMs discussed (with real data examples) in (off the top of my head) de Jong & Heller and Frees as well as numerous papers; I've also seen applications in other areas. Oh, and if I remember right, Venables and Ripley's MASS uses it on school absenteeism (the quine data; Edit: turns out it's actually in Statistics Complements to MASS, see p11, the 14th page of the pdf, it has a log link but there's a small shift of the DV). Uh, and McCullagh and Nelder did a blood clotting example, though one or both of those may have been natural link.
Then there's Faraway's book where he did a car insurance example and a semiconductor manufacturing data example.
There are some advantages and some disadvantages to choosing either of the two options. Since these days both are easy to fit; it's generally a matter of choosing what's most suitable.
It's far from the only option; for example, there's also inverse Gaussian GLMs, which are more skew/heavier tailed (and even more heteroskedastic) than either gamma or lognormal.
As for drawbacks, it's harder to do prediction intervals. Some diagnostic displays are harder to interpret. Computing expectations on the scale of the linear predictor (generally the log-scale) is harder than for the equivalent lognormal model. Hypothesis tests and intervals are generally asymptotic. These are often relatively minor issues.
It has some advantages over log-link lognormal regression (taking logs and fitting an ordinary linear regression model); one is that mean prediction is easy.