Your question is valid.
You are probably mostly thinking of web facing web servers. Serving HTML (or json or websockets) can be used for so much more.
I use Nancy instead of IIS because I have a small application that I only want to reach from the inside while IIS is outward facing. Also – if a machine doesn’t have IIS I don’t have to install it.
Say you run OSX or *nix. Then you can have a very good language and ditto editor and run a simple web server on Mono.
Say you are using a micro controller like Netduino – IIS doesn’t fit on it. I doubt Nancy runs there either – but you get the idea; not everything needs a 24 wheeler to haul data.
Say you are automating your house with a Win machine as heart and center. Now, do you really want to install IIS which does godsknowwhat or does it suffice with as little as possible?
If the automated house above is your pet F/OSS project and you are heavy on automated testing. Nancy is well known for that.
Another example take from the near-reality of mine. I have a snow flake server running an outdated Umbraco CMS. I put my soft gloves on before I touch this machine and only so gently.
If I need another web or json server on it Nancy would do the least possible imprint.
The OWIN argument is stale though as Microsoft seems to have Katana more or less out the door.
HTH