You know what I'd use it for? Penalizing.
Imagine; you're playing an online FPS, and you decide to hack. Some guy reports it, there's proof of it, and you're given a warning. You decide "Nah, I'm to awesome for them to do something." And keep hacking. Then you smell something. And your hands feel funny. You look down to see the controler has BURTN YOUR HANDS OFF! Try hacking now, stumpy!
Ok, that was extreme, but it illustrates my point in how this can discourage people from doing stuff like that when it makes their controler too hot or cold to touch, leaving them a sitting duck. 2-for-1, baby!
Either that or the controler heats up and vibrates to give you a relaxing masage when you've died so many times you're about to go into a nerd rage. Penalizing jerks and soothing the irritated.
As long as they don't make it part of actual gameplay, I'm fine with this.