A pair of braces (not brackets — [] — and not parentheses — () — but braces {}) with zero or more statements in them is a legal statement in C#, and therefore may appear anywhere that a statement may legally appear.
As others have pointed out, the typical reason for doing so is because such a statement introduces a new local variable declaration space, which then defines the scope of the local variables declared within it. (Recall that the “scope” of an element is the region of program text in which the element may be referred to by its unqualified name.)
I note that this is particularly interesting in a switch statement because the scoping rules in a switch are a little bit strange. For details of how strange they are, see “Case 3:” in my article on the subject: